Stock Forum Message And Short-term IPO Market Behavior

With the rapid development of the Internet, especially the arrival of Web2.0, thenetwork has become an important information resource that investors obtain for stocktrading. In Western countries, stock forum, Finance blog site et al have beenconcerned about by the securities market practitioners, policy-makers and researcherssince the1990s.All previous literatures indicate that Internet Stock Message Boardshave some effect on the stock market. IPO underpricing is an abnormal phenomenonthat is concerned generally in financial academic studies, this paper try to study therelationship between investor sentiment based on the Stock forum information andIPO Short-term market behavior on our stock market and provide empirical basis forthe research of the formation mechanism of IPO abnormal performance and remindregulator to strengthen network supervision, and it also has important guidingsignificance for online traders making investment decisionsFirst, this article briefly described the characteristics of China’s IPO market andelaborated the literatures for the relationship of internet message and stock marketfrom different perspectives, we found scholars all recognized view―the Internet is notjust noise while they have no consistent conclusion. It has important guidingsignificance for our study. Then we use text mining technology to get the IPO dataand detailed an important method for sample data preprocessing——Naive Bayesclassifier. Then we introduced the research of investor sentiment theory based onbehavioral finance and its proxy index. Finally, we extract investor sentiment such aspreferences of online investor, optimistic sentiment and the disagreement indexbetween investors from the Internet forum to analysis the relationship between theStock forum and IPO market.Date of all the A shares were collected from June2012to September2012data.This paper had a research on the relation of the investor sentiment reflected by theStock forum activities and IPO market from a view of behavioral finance. the resultsindicated that investments do not show a preference for some companies when theypost on internet, investor sentiment have little impact on IPO earnings while asignificant effect on first day volume of IPO, Specifically, the higher optimistic sentiment index and the greater disagreement index of investor, the greater the IPO‘sfirst day trading volume, However, the internet message have no predictive ability forthe next two day‘s performance. What‘s more, the author also compared the influenceof the network information on different plates of IPOs and found there is littledifference between GEM and small plates IPO. Finally, the author summed up thelimitations of the study and put forward the future research direction based on thestudy design and empirical results.