Can microblogging information disclosure reduce stock price synchronicity? Evidence from China-Reference-Cited by-同舟云学术

Can microblogging information disclosure reduce stock price synchronicity? Evidence from China

Published:2018-09-20 Issue:2 Volume:44 Page:282-305
ISSN:0312-8962
Container-title:Australian Journal of Management
language:en
Short-container-title:Australian Journal of Management

Author:

Zhou Donghua¹,Zhao Yujie²,Lin Philip T³,Li Bin⁴,Cheung Adrian (Waikong)⁵

Affiliation:

1. School of Accounting, Jiangxi University of Finance and Economics, Nanchang, China

2. School of Finance, Jiangxi University of Finance and Economics, Nanchang, China

3. Guangdong University of Foreign Studies, Guangzhou, China

4. Griffith Business School, Griffith University, Nathan, QLD, Australia

5. Flinders Business, College of Business, Government and Law, Flinders University, Adelaide, SA, Australia

Abstract

We study the relationship between stock price synchronicity and information disclosure of firms listed in the Chinese stock market, using hand-collected data on firms’ official microblogging content in Sina Weibo, a popular microblogging service in China. We find that after controlling for the impact of traditional media, the number of Weibo tweets is related negatively to stock price synchronicity, indicating that stock prices incorporate firm-specific information disclosed in the firm’s official Weibo. Number of microblogging fans can strengthen this negative relationship. Our result is robust to alternative measures of stock price synchronicity, microblogging information disclosure, and to endogeneity issues. JEL Classification: G14, G15

Funder

the Postdoctoral Foundation

the Major Project “125” of Jiangxi Provincial Social Sciences Research

National Natural Science Foundation of China

Publisher

SAGE Publications

Subject

General Business, Management and Accounting

Link

http://journals.sagepub.com/doi/pdf/10.1177/0312896218796884

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