Online public opinion and asset prices: a literature review

Abstract

<abstract> We review the research work undertaken to explore how online public opinion information through social media and news media affects asset prices. First, it summarizes the measurement of online public opinion from three aspects: data source of online public opinion, textual sentiment analysis, and measurement of online public opinion index. Second, it puts forward the related theoretical basis of the research on online public opinion and asset price such as the noise trading theory, arbitrage limitation demonstrations, limited attention assumption and divergence models, etc. Third, it summarizes the three transmission channels through which online public opinion affects asset prices: investor attention, investor perceptions, and investor sentiment. Last, it looks deeply into the area and classifies the empirical literature according to various sources of online public opinion chosen by the researcher. Therefore, this exploratory work contributes to the existing literature by introducing the first systematic review. </abstract>