Different Information Dissemination Channels And Stock Pricing

Information plays a decisive role in price discovery, which can be called a financial nature to some extent in the stock market. Under the background of rapid development of social media and the big data era, individuals make decisions with diversified information sources and forms, search and perform in different methods. With the role of information dissemination through different channels in security prices, to explore the effects of different information dissemination channels itself, is significant to asset pricing of information. From both of the theoretical and empirical perspective, this paper makes a study of the influence on stock pricing in China on traditional and social media-type information dissemination channels.In the theory study, this paper gives the definition of information dissemination channels, that an Internet information carrier with certain network structure and propagation characteristics, on the basis of asset pricing theory, information theory of finance and information transmission dynamics theory. Meanwhile, it divides the share information dissemination channels into two categories, traditional information channels and social media channels, depending on the strength of social relations and information dissemination mechanisms. It puts forward two kinds of influence mechanism, how information channels decide the stock market when the information channels are connected with investor decision-making and stock market. Then it gives a theoretical framework which is able to describe the information dissemination and Pricing in the financial market.In the empirical study, this paper verifies the effects of different information dissemination channels on the stock market, using the searching data about stock shorts from Baidu and Weibo indexes, which is used as the investor attention on different information channels. The study found that:(1) Based on traditional information channels, investor attention is stable to the overall stock market, but different among single stocks. It is lack of explanatory power in terms of abnormal returns, but has strong explanatory power in the stock turnover and volume. At the same time, traditional information channels still plays an important role in influencing the stock market, and is very significant to search information for investors.(2) Based on social media channels, investor attention is stable to the overall stock market, but with a huge range and Matthew effect. It has strong explanatory power in stock turnover, but lack of ability to explain abnormal returns and volume, far better than the traditional channels. And it has more explanatory power in the stock overall abnormal returns than traditional information channels.(3) When a stock subject to events or news, the social media channels perform better than the traditional information channels, like news media with low participation. Compared to traditional information channels, social media channels will reduce the degree of heterogeneity in the market and improve the market effectiveness.