Pacific-Basin Finance Journal, Volume 49, June 2018

中国的股票网络留言板是否传递了公司特有信息？

作者：Xiao Li (Nankai University, China)

Dehua Shen (Tianjin University, China)

Wei Zhang (Tianjin University, Canada)

摘要：本文探讨了在中国网络上的股票留言板是否传达了公司的特有信息。以特质性波动率作为公司特定信息的测度，我们发现，网络上的股票留言板建立后公司的特质波动率显著增加，这个结果对不同的模型以及在控制公司特征的情况下都是稳健的。此外，信息扩散可以解释大部分的特质波动率的上升。最后，就流动性和所有权的广度而言，我们发现特质波动率的增加伴随着信息不对称程度的降低，表明特质波动与信息效率是正相关的。

Do Chinese internet stock message boards convey firm-specific information?

Xiao Li (Nankai University, China), Dehua Shen (Tianjin University, China), Wei Zhang (Tianjin University, Canada)

ABSTRACT

This paper examines whether Internet stock message boards convey firm-specific information in China. By choosing the idiosyncratic volatility as the proxy for firm-specific information, we mainly find that idiosyncratic volatility significantly increases after Internet stock message boards are established and the result is robust to alternative model specifications as well as controlling for firm characteristics. Besides, the upward trend in idiosyncratic volatility can be mostly explained by information diffusion. Finally, the empirical results show that the increased idiosyncratic volatility coincides with the reduction in information asymmetry in terms of liquidity and breadth of ownership, indicating that idiosyncratic volatility is positively related to information efficiency.

原文链接：https://www.sciencedirect.com/science/article/pii/S0927538X17305590

翻译：阙江静