Research On The Effectiveness Of Official Microblog Information Of Listed Companies Based

In the Internet information age,the development of social media has brought great impact on people's life.It not only changes people's social way,but also greatly changes the way of information dissemination and access.More and more people choose to obtain information through social media.Nowadays,social media is booming,and Sina Weibo,with its superior speed and breadth of information dissemination,has become the mainstream social media in China.Sina Weibo not only creates a new platform for interpersonal communication,but also provides a new channel for information dissemination in the capital market.More and more listed companies have registered Sina Weibo official accounts and used them to disclose information.Information is an important factor affecting the efficiency of the capital market,which is closely related to the effectiveness of the capital market.The information effectiveness of listed companies has always been the object of attention and research of all participants in the capital market and academic circles.Based on its own functional characteristics,microblog tool is expected to become another channel for listed companies to disclose information,so as to improve the information environment,Improve the efficiency of the capital market.Based on this,this paper selects ZTE as a case,using the methods of text analysis,event study and regression analysis to explore whether the official microblog information of listed companies is effective in the capital market.Firstly,this paper uses Python spider tool to obtain the text data of ZTE official microblog from August 2020 to February 2021,and analyze them with LDA model,comparing it with the the official company announcement text data in the same period.Secondly,this paper analyzes the sentiment of the official microblog text information and its comments of ZTE with Snow NLP tool to distinguishes the positive and negative emotion.Finally,based on the characteristics of self-media and strong interaction of microblog,this paper explores the effectiveness of official microblog information of ZTE from the dimension of publishing and interaction.In the dimension of active publishing,this paper uses event research method to explore whether the stocks will generate excess income after ZTE publishes micro blog information;in the interactive dimension,this paper uses regression analysis to construct a meta regression model of Weibo comment comprehensive sentiment index(CSI)and stock price volatility(Rt)of the day,in order to explore the correlation between the comprehensive sentiment index of microblog comment and the stock price fluctuation of ZTE in the day.The results show:(1)ZTE disclosed the effective information which is not disclosed in formal announcement through official microblog;(2)the sentiment tendency of ZTE's official microblog comments is consistent with that of its microblog content to a great extent,and both of them are positive sentiment tendency,which indicates that ZTE's official microblog information effectively conveys to investors and potential investors;(3)In the release dimension,ZTE's official microblog information is effective in the capital market.On the day of information release,individual stocks will generate obvious excess returns,which will have an effective impact on stock price volatility;(4)In the interactive dimension,ZTE's official microblog information is also effective in the capital market.The emotional comments of investors and potential investors on microblog will be reflected in the fluctuation of stock price.The current comprehensive sentiment index of microblog comments(CSIt)is significantly correlated with the change of stock price(Rt),and the current comprehensive sentiment index of microblog comments(?CSIt)is also significantly correlated with the change of stock price(Rt).