The Impact of Market Condition and Policy Change on the Sustainability of Intra-Industry Information Diffusion in China

Chi Dong, Hooi Hooi Lean (), Zamri Ahmad and Wing-Keung Wong
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Chi Dong: School of Economics, Hebei University, Baoding 071002, China
Zamri Ahmad: School of Management, Universiti Sains Malaysia, Penang 11800, Malaysia

Sustainability, 2019, vol. 11, issue 4, 1-20

Abstract: Through an investigation into seven major industries in China’s stock market from 2002 to 2013, this study focuses on two main external determinants: market condition and policy change on intra-industry information diffusion. We employ both time-series and panel Vector Auto-regression (VAR) methods on a sample data of 1175 firms for the analysis. The investigation reveals that market conditions and policy changes affect the process of intra-industry information diffusion in China. The speed of intra-industry information diffusion in a down-market state is slower than an upmarket, especially when the evidence is more significant in the longer horizon of the market condition. Policy changes, especially the split-share structure reform, impede the process of intra-industry information diffusion. The investigation outcome also reveals that there is an increasing delay in intra-industry information diffusion over time in China’s stock market after 2005. However, because of the decreasing information volatility of intra-industry information diffusion, policy changes are useful to a certain extent.

Keywords: market condition; policy change; information diffusion; intra-industry; China (search for similar items in EconPapers)
JEL-codes: O13 Q Q0 Q2 Q3 Q5 Q56 (search for similar items in EconPapers)
Date: 2019
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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