Have internet message boards changed market behavior?

PurposeThis study seeks to investigate the changes in stock market behavior between the pre and post internet/message board eras.Design/methodology/approachThe study examines the stock return behavior for a large subset of firms in the S&P 100 both before and after the implementation of the firms' message boards on Yahoo! Finance.FindingsThe data shows a significant increase in daily trading volume after a firm's message board was established which suggests that either new investors were drawn to the market or existing investors were induced to trade more frequently. The results also show that daily returns are significantly lower in the post‐message board era and that the market may have become riskier as the variance of these daily returns is significantly higher. These results hold after controlling for market and industry wide events and they are not unique to the stock market bubble of the late 1990s or the NBER‐dated recession of 2001.Originality/valueThis study builds on the work of Asthana and connects it to the message board studies conducted by Tumarkin and Whitelaw, and Antweiler and Frank by considering whether or not the internet in general, and message boards specifically, may have changed the underlying behavior of the stock market. It has important implications for those researchers studying market information efficiency and confirms the importance of studying internet information use by investors.