Abstract
GEM stocks are more susceptible to the attention of news media because of their liquidity and high risk characteristics. This paper uses Baidu News search and the data of companies listed on GEM from 2009 to 2015 to investigate the impact of media attention and stock liquidity on stock price information content respectively and the impact of stock liquidity on the relationship between media attention and stock liquidity. The results show that with the number of media news coverage increasing and stock liquidity accelerating, stock information content will also be improved; further studies find that with the acceleration of stock liquidity, liquidity weakens the positive relationship between media attention and shares information content.
Highlights
The information content of share price refers to characteristics information of the company, which determines the effectiveness of the stock price signal transmission mechanism, affecting the allocation of resources in stock market, representing the level of market efficiency
On the basis of the above analysis, in view of the individual investors are the majority in GEM, who are more susceptible to the impact of news media, this paper puts forward the first hypothesis: H1: The increase in media attention is conducive to the improvement of stock information content
Since the higher liquidity stocks are more vulnerable to media attention, the logic of the framework in this paper is that stock liquidity accelerating the stock price information content, the number of media news reports is conducive to the improvement of stock information content
Summary
The information content of share price refers to characteristics information of the company, which determines the effectiveness of the stock price signal transmission mechanism, affecting the allocation of resources in stock market, representing the level of market efficiency. The turnover of the GEM record highs, these conditions laid a foundation for the paper to study the relationship between media attention and the GEM stock price information content, and the impact of stock liquidity on this relationship. The discussion of the role of news media in the capital market is a hot topic, but the relationship between the media attention and the information content of the stock price is still rare. In the existing literature on the relationship between media attention and stock price information content, the research object is usually the A-share market, and there is no special study on the GEM.
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