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Do Chinese internet stock message boards convey firm-specific information?

Xiao Li, Dehua Shen () and Wei Zhang

Pacific-Basin Finance Journal, 2018, vol. 49, issue C, 1-14

Abstract: This paper examines whether Internet stock message boards convey firm-specific information in China. By choosing the idiosyncratic volatility as the proxy for firm-specific information, we mainly find that idiosyncratic volatility significantly increases after Internet stock message boards are established and the result is robust to alternative model specifications as well as controlling for firm characteristics. Besides, the upward trend in idiosyncratic volatility can be mostly explained by information diffusion. Finally, the empirical results show that the increased idiosyncratic volatility coincides with the reduction in information asymmetry in terms of liquidity and breadth of ownership, indicating that idiosyncratic volatility is positively related to information efficiency.

Keywords: Information diffusion; Firm-specific information; Idiosyncratic volatility; Information asymmetry; Internet stock message boards (search for similar items in EconPapers)
JEL-codes: G12 G14 (search for similar items in EconPapers)
Date: 2018
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