Abstract
Whether the stock price fluctuation in emerging markets such as China is dominated by “information efficiency” or “noise” has aroused many scholars’ disputes. Based on the “SSE e interaction” Q & A data, this paper uses the fixed effect model to study the impact of “SSE e interaction” on the stock price synchronization from 3 perspectives: the lag of the company’s response, the pertinence and the negative emotional tendency of investors. The research found that the targeted response of listed companies to investors’ questions in the “SSE e interaction” significantly improved the synchronization of stock prices, and the lag of the response may be the result of selective and tendentious information dissemination. The negative sentiment of investors has certain information content, but excessive negative sentiment may bring noise to the market. Our research shows that information and “noise” coexist in China’s capital market, but “noise” is still the dominant factor in stock price fluctuations.
Highlights
The emergence of the Internet, interactive media and mobile applications has greatly impacted the traditional model of information disclosure of the company
The research found that the company's dutiful response to "SSE e interaction" can improve the market information environment, and the negative sentiment of investors has certain information content, but the extremely negative sentiment will bring "noise" to the market
A research found that in China, changes in individual investor sentiment affect the equilibrium return of the stock market, and have a reverse correction effect on the volatility of the stock market return [7]. These studies have shown that the sentiment expressed by investors on social media can react to the capital market, but it has not yet been determined whether this effect is beneficial or negative to the efficiency of the capital market
Summary
The emergence of the Internet, interactive media and mobile applications has greatly impacted the traditional model of information disclosure of the company. The company's strategic use of communication tools and biased dissemination of good information may lead to information bias of investors [1], which is not conducive to the stable operation of the capital market. In 2013, the Shanghai stock exchange launched the "SSE e interaction" online investor interaction platform, which improved the company's information transparency to a certain extent. What is the impact of the implementation and interactive features of the platform on the volatility of the share price in the capital market?. The research found that the company's dutiful response to "SSE e interaction" can improve the market information environment, and the negative sentiment of investors has certain information content, but the extremely negative sentiment will bring "noise" to the market
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