| China's stock market has obvious "same rise and fall" phenomenon.The measure of this "same rise and fall" phenomenon is called stock price synchronization.Stock price synchronization refers to the part of the fluctuation of stock returns that can be explained by market and industry factors.Whether share price synchronicity represents “corporate trait information” or “noise” has caused academic disagreements.The academic community makes different interpretations of the economic implications of share price synchronicity from the perspectives of “information efficiency” and “irrational behavior”.This view is not compatible.The new online media as a new channel for infor mation disclosure has a significant impact on the financial market.The influence of online media represented by Weibo on the synchrony of share prices has gradually increased in recent years.This article hopes to study the influence mechanism of the official microblog information quality of listed companies on the synchronization of stock prices under different market trends,and combines the two perspectives to provide a comprehensive explanation for the connotation of stock price synchronization.This article screens and collects data on the share prices of Chinese listed companies from January 1,2013 to December 31,2016 and official Weibo related data,selects 119 sample companies,and collects more than 490,000 Weibo data in bull and bear markets.Under normal circumstances,a systematic empirical test and theoretical analysis of the relationship between microblog information quality and stock price synchronization were conducted.The study found that:(1)Under normal conditions,microblog information quality is negatively linearly related to stock price synchronization;(2)Under the bull market and bear market,microblog information quality and stock price synchronization are inverse U-shaped.It shows that under different market trends,the quality of microblogging information affects the synchronization of stock prices differently,and the economic meaning of stock price synchronization is also different.Under normal circumstances,investors are relatively rational,and stock price synchronization is more representative of “information.” The more company-specific information enters into the stock price,the lower the synchronization of stock price will be.In the bullish market and bear market,investors' irrational behavior is significant.Increasing,stock price synchronization includes both "noise" and "information." The more company-specific information enters the stock price,the higher the stock price's synchrony will then increase.This article combines the "information efficiency" and "irrational behavior" viewpoints to provide a comprehensive explanation of the economic meaning of stock price synchronization,enriches and perfects the theoretical research on the economic meaning of stock price synchronization,and provides reference for regulators. |
PDF Full Text Request