This study develops a comprehensive methodological framework for identifying and quantifying investor echo chambers in online stock discussion forums. Motivated by a dynamic model of endogenous echo chamber formation, which formalizes how investors optimally allocate attention and update beliefs under cognitive and informational constraints, we construct a two-layer multiplex investor network that integrates common-attention similarity and semantic similarity to jointly capture the informational and cognitive linkages among investors. This framework enables the systematic examination of how shared information sources and convergent opinions emerge within investor communities. We compute both community-level and individual-level (node-level) echo-chamber intensity by integrating measures of social homophily, semantic reinforcement, and community insularity. At the firm level, we further aggregate these micro-level indicators using attention-weighted indices, community concentration (HHI), and semantic polarization metrics to characterize how echo-chamber dynamics manifest in firm-related discussions. In addition, we propose a general empirical panel framework to examine the relationship between investor echo-chamber intensity and firm-level outcomes. Overall, this paper provides a methodological foundation for the broader Investors’ Echo Chamber Project, offering scalable tools for network-based behavioral analysis and laying the groundwork for future research linking online social dynamics, financial market efficiency, and corporate decision-making.

As the world’s two largest economies, China and the US are currently experiencing political and economic friction. This conflict brings high uncertainty to financial markets. Assessing risk spillover effects in a sector level will help us to characterize international risk contagions. We construct a multilayer network to examine tail risk spillovers between China and the US and find that (1) the value of total connectedness rises amidst tensions but declines during reconciliations; (2) interlayer spillovers mainly manifest as extreme pulses instead of steady outflows, which implies a significant increase in the frequency and magnitude of interlayer spillovers requires vigilant monitoring; and (3) compared with the in-strength, the out-strength is more concentrated, which represents that some sectors may play the role of major interlayer transmitter in tail risk spillovers. Monitoring interlayer spillovers helps policymakers and investors respond to emerging systemic threats.