The role of different information sources in information spread: Evidence from three media channels in China

Abstract

Using a comprehensive dataset from 2008 to 2018, we study the role of different information sources (traditional media, new media, and social media) on information spread in the Chinese stock market. The findings reveal varied leading and lagging relationships in the timeliness of fraud information disclosure from three media types and the most significant impact from social media. The results on price synchronicity reveal the significantly negative influence of all media coverages; among them, the impact of new media is in the first position, social media is in second place, and traditional media is the smallest. Furthermore, this influence is more pronounced for firms that are not audited by Big 4 auditors or with lower institutional ownership. In summary, we reveal the different effects of three media channels around fraud events and price synchronicity in China.