Social media, interaction information and stock market efficiency: evidence from the Shenzhen stock exchange easy interaction platform in China

ABSTRACT

This paper studies the impact of interaction between investors and listed companies on market efficiency from two perspectives of earnings expectation and information asymmetry. We conduct an empirical analysis of the Shenzhen Stock Exchange Easy Interaction (SSEEI) platform. The interactive text is used to build interactivity indicators showing that the platform provides an important way to increase stock market efficiency. We further study how the interaction affects market efficiency using the emotion dictionary and the Latent Dirichlet Allocation (LDA) model. The results show that both good and bad news discussed on the platform are significant to market efficiency.

KEYWORDS:

• Social media
• market efficiency
• information asymmetry
• earnings expectation

Acknowledgments

The authors would like to thank the Editor-in-Chief, the Associate Editor, and the anonymous referee for their helpful comments and constructive guidance. The authors also gratefully acknowledge financial support from the National Natural Science Foundation of China (71671056, 91846201), the Humanity and Social Science Foundation of the Ministry of Education of China (19YJA790035), and the National Statistical Science Research Projects of China (2019LD05).

Disclosure statement

No potential conflict of interest was reported by the authors.

Additional information

Funding

This work was supported by the National Natural Science Foundation of China [71671056,91846201]; National Statistical Science Research Projects of China [2019LD05]; Humanity and Social Science Foundation of the Ministry of Education of China [19YJA790035].