The role of internet in stock market

Abstract

This dissertation introduces the concept of Internet Information and highlights its

crucial role in stock market. At the beginning, I discuss the intrinsic relations between

market efficiency and Internet Information and argue that Internet Information serves

as a way of complementing the “data” for understanding the dynamics of stock

market. In chapter 2, I give an overview of stock market predictions using Internet

Information and put forward some research directions. Naturally, four short essays are

presented to illustrate the utilization of Internet Information. In particular, Chapter 3

employs the news appeared in the Internet as the proxy for the rate of information

flow and examines the nature of the information-volatility relations. Chapter 4

demonstrates that the familiarity-based investment is driven by information with a

unique online information interactive channel. Chapter 5 shows that the investor

sentiment constructed by investor’s searching behavior can explain the excess

comovement of stock returns. Chapter 6 illustrates the impact of happiness sentiment

extracted from social media on stock market performance.

In general, this dissertation addresses a timely important issue presented to us in

this revolutionary information environment and takes an important step in

highlighting the role of Internet Information in stock market.