Social media, interaction information and stock market efficiency: evidence from the Shenzhen stock exchange easy interaction platform in China

被引：15
|
作者：
Xu, Qifa [1 ,2 ,3 ]
Li, Qianqian [1 ]
Jiang, Cuixia [1 ]
Wu, Jun [1 ]
Zhang, Xin [1 ]
机构：
[1] Hefei Univ Technol, Sch Management, Hefei 230009, Peoples R China
[2] Minist Educ, Key Lab Proc Optimizat & Intelligent Decis Making, Hefei, Peoples R China
[3] Minist Educ, Engn Res Ctr Intelligent Decis Making & Informat, Hefei, Peoples R China
来源：
ASIA-PACIFIC JOURNAL OF ACCOUNTING & ECONOMICS | 2022年 / 29卷 / 06期
基金：
中国国家自然科学基金;
关键词：
Social media; market efficiency; information asymmetry; earnings expectation; EARNINGS ANNOUNCEMENT DRIFT; DISSEMINATION; DISCLOSURE; ASYMMETRY; LIQUIDITY; RETURNS; VOLUME; IMPACT; COSTS;
D O I：
10.1080/16081625.2020.1829976
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
This paper studies the impact of interaction between investors and listed companies on market efficiency from two perspectives of earnings expectation and information asymmetry. We conduct an empirical analysis of the Shenzhen Stock Exchange Easy Interaction (SSEEI) platform. The interactive text is used to build interactivity indicators showing that the platform provides an important way to increase stock market efficiency. We further study how the interaction affects market efficiency using the emotion dictionary and the Latent Dirichlet Allocation (LDA) model. The results show that both good and bad news discussed on the platform are significant to market efficiency.
引用
收藏
页码：1469 / 1496
页数：28
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