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

Author

Listed:
  • Donghua Zhou

    (School of Accounting, Jiangxi University of Finance and Economics, Nanchang, China)

  • Yujie Zhao

    (School of Finance, Jiangxi University of Finance and Economics, Nanchang, China)

  • Philip T Lin

    (Guangdong University of Foreign Studies, Guangzhou, China)

  • Bin Li

    (Griffith Business School, Griffith University, Nathan, QLD, Australia)

  • Adrian (Waikong) Cheung

    (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

Suggested Citation

  • Donghua Zhou & Yujie Zhao & Philip T Lin & Bin Li & Adrian (Waikong) Cheung, 2019. "Can microblogging information disclosure reduce stock price synchronicity? Evidence from China," Australian Journal of Management, Australian School of Business, vol. 44(2), pages 282-305, May.
    • Handle: RePEc:sae:ausman:v:44:y:2019:i:2:p:282-305
    DOI: 10.1177/0312896218796884
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    References listed on IDEAS

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    Cited by:

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    4. He, Feng & Liu, Guanchun & Hao, Jing & Li, Youwei, 2023. "CSR performance and firm idiosyncratic risk in a data-rich environment: The role of retail investor attention," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 89(C).

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    More about this item

    Keywords

    Analyst coverage; disclosure; fans following; microblogging; stock price synchronicity;
    All these keywords.

    JEL classification:

    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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