Can Microblogging Information Disclosure Reduce Stock Price Synchronicity? Evidence From China

Posted: 3 May 2019

See all articles by Donghua Zhou

Donghua Zhou

Jiangxi University of Finance and Economics

Yujie Zhao

Jiangxi University of Finance and Economics

Philip T Lin

affiliation not provided to SSRN

Bin Li

Griffith University - Department of Accounting, Finance and Economics

Adrian (Wai-kong) Cheung

Flinders University

Date Written: September 20, 2018

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.

Keywords: Analyst coverage, disclosure, fans following, microblogging, stock price synchronicity

JEL Classification: G14, G15

Suggested Citation

Zhou, Donghua and Zhao, Yujie and Lin, Philip T and Li, Bin and Cheung, Adrian, Can Microblogging Information Disclosure Reduce Stock Price Synchronicity? Evidence From China (September 20, 2018). Australian Journal of Management, Vol. 44, No. 2, 2019, Available at SSRN: https://ssrn.com/abstract=3364321

Donghua Zhou (Contact Author)

Jiangxi University of Finance and Economics ( email )

South Lushan Road
Nanchang, Jiangxi 330013
China

Yujie Zhao

Jiangxi University of Finance and Economics ( email )

South Lushan Road
Nanchang, Jiangxi 330013
China

Philip T Lin

affiliation not provided to SSRN

Bin Li

Griffith University - Department of Accounting, Finance and Economics ( email )

Nathan
Brisbane, Queensland, 4111
Australia

Adrian Cheung

Flinders University ( email )

GPO Box 2100
Adelaide S.A. 5001, SA 5063
Australia
+618 8201 5831 (Phone)

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