Social Media Disclosure and Stock Price Synchronicity

Chinese Association for Information Systems 2019 (CNAIS 2019)

Posted: 29 Apr 2021

See all articles by Xi Zhou

Xi Zhou

Southern University of Science and Technology - School of Business

Kun Chen

Southern University of Science and Technology, Department of Finance

Shufang Lai

Southern University of Science and Technology

Fan Yifan

Southern University of Science and Technology

Date Written: 2019

Abstract

According to the efficient market hypothesis, stock price is determined by market information. Since 2010, a new social media disclosure, called “Hudongyi” has been launched by Shenzhen Stock Exchange. The social media provides an inter-communication feature for information disclosure compared with traditional firm announcements. So, can the social media disclosure provide additional firm-specific information to the market? To investigate the research question, we design surprise index and specificity index based on the Q&A texts on “Hudongyi”, and empirically analyze the relationships between the two indexes and the stock price synchronicity. The results showed that there are significant negative effects of the two indexes on synchronization of stock price. That is, the more information the messages published by companies on the platform contain, or the higher the proportion of information related to the company itself contain, the lower the synchronization. The findings provide important theoretical and practical implications.

Keywords: Stock Price Synchronicity, Information Disclosure, Surprise Index, Specificity

JEL Classification: G14

Suggested Citation

Zhou, Xi and Chen, Kun and Lai, Shufang and Yifan, Fan, Social Media Disclosure and Stock Price Synchronicity (2019). Chinese Association for Information Systems 2019 (CNAIS 2019), Available at SSRN: https://ssrn.com/abstract=3830706

Xi Zhou (Contact Author)

Southern University of Science and Technology - School of Business ( email )

China

Kun Chen

Southern University of Science and Technology, Department of Finance ( email )

No 1088, xueyuan Rd.
Xili, Nanshan District
Shenzhen, Guangdong 518055
China

Shufang Lai

Southern University of Science and Technology ( email )

No 1088, xueyuan Rd.
Xili, Nanshan District
Shenzhen, Guangdong 518055
China

Fan Yifan

Southern University of Science and Technology

No 1088, xueyuan Rd.
Xili, Nanshan District
Shenzhen, Guangdong 518055
China

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