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Does microblogging convey firm-specific information? Evidence from China

Dehua Shen (), Xiao Li, Mei Xue and Wei Zhang

Physica A: Statistical Mechanics and its Applications, 2017, vol. 482, issue C, 621-626

Abstract: This paper investigates the impact of opening microblogging account in Sina Weibo on the diffusion of firm-specific information in Chinese stock market. With the unique sample of firms opening their official accounts, the empirical results show that this newly emerged information diffusion channel, i.e., Sina Weibo, plays an important role in conveying firm-specific information to the market. Generally speaking, these empirical findings have practical implications to securities regulators who have interest in monitoring the diffused information via social media.

Keywords: Microblogging; Sina Weibo; Firm-specific return variation; Idiosyncratic volatility; Chinese stock market (search for similar items in EconPapers)
Date: 2017
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