DISA SEMINAR

Do Stock Traders Exhibit Herding In The Mobile Phone Channel Due To The Diffusing Social Sentiment?

Speaker
Prof Lee Sang-Yong Tom, Visiting Professor, School of Computing

09 Feb 2018 Friday, 10:30 AM to 12:00 PM

Executive Classroom, COM2-04-02

ABSTRACT:

Do traders who use mobile phones for equity transactions react to social sentiment differently compared to traditional traders? What can be learned and understood about their reaction patterns? Do they react to social media sentiments more? Using stock trading and social media sentiment data for a three-month period in 2012 in Korea, we answer these questions through our use of machine learning methods for social sentiment-related text analysis, and explanatory econometric modelling. We estimate the strength of the different drivers that underlie stock trading behavior. Our results show that mobile phone-based stock traders were easily swayed by social sentiment about individual equities, while trading in the traditional channel was more influenced by market sentiment, and they were different from one another. Traders in the mobile phone-based and traditional transaction channels did not exhibit similar reaction patterns as they made sense of the social sentiment they received each day. Our evidence also suggests that mobile traders exhibited relatively similar reactions when daily social sentiment consolidated into a trend over time. They acted on signals form social media that often led to negative feedback trading: they tended to buy a specific equity when they received negative social sentiment about it, and tended to sell it when they received positive sentiment. Positive and negative feedback both seem to have appeared early in the study period, but tended to disappear over time as mobile traders became more informed. From these results. we offer a new theory-based interpretation of how the mobile phone-based stock trading channel works.

BIODATA:

Sang-Yong Tom Lee is a Visiting Professor at NUS for the academic year of July 2017 - June 2018. He is a Professor in MIS at the School of Business of Hanyang University. He received BA (1990) and MA (1992) in Economics from Seoul National University, and a PhD (1999) from Texas A&M University. Prior to joining Hanyang University, he was an Assistant Professor at the Department of Information Systems, National University of Singapore.
His research interests are in economics of information systems, online information privacy, social media analytics, and value of IT. Particularly, he is interested in combining econometrical methodologies with machine learning techniques. His papers has been published in various journals such as MIS Quarterly, Management Science, Journal of Management Information Systems, Communications of the ACM, Decision Support Systems, International Journal of Electronic Commerce, Information & Management, and others. He is currently an Editor-in-Chief of Asia Pacific Journal of Information Systems. He is also serving as an editorial board member at Journal of the AIS, Information & Management, Electronic Commerce Research and Applications, and IEEE Transactions on Engineering Management.