互联网沟通能够改善市场信息效率吗？——基于深交所“互动易”网络平台的研究

Journal of Financial Research

2016, Vol. 429

Issue (3): 174-188 DOI:

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Can Investors’ Online Communication with Listed Firms Improve the Information Efficiency of the Stock Market?

TAN Songtao, KAN Shuo, CUI Xiaoyong

China Financial Policy Research Center, Renmin University of China;
School of Economics, Peking University

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Abstract Using the operation of “Hudongyi” online communication system of Shenzhen Stock Exchange as an exogenous impact in the year of 2010, this paper investigates whether investors’ online communication with listed firms improves the information efficiency of the stock market. We find that both the stock return synchronicity and the analysts’ forecast error have decreased significantly for the firms listed in Shenzhen stock market since the operation of “Hudongyi” system. In addition, we find that the synchronicity and the analysts’ forecast error decrease much more for firms listed in Shenzhen stock market than those in Shanghai stock market after the year of 2010. These findings show that the online communication between investors and listed firms improves the information accuracy and hence enhances the information efficiency of the stock market.

Key words： Management Access Information Efficiency “Hudongyi” Online Communication System

Received: 20 October 2015 Published: 01 January 1900

JEL分类号:	G11
	G19

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TAN Songtao,KAN Shuo,CUI Xiaoyong. Can Investors’ Online Communication with Listed Firms Improve the Information Efficiency of the Stock Market?[J]. Journal of Financial Research, 2016, 429(3): 174-188.

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http://www.jryj.org.cn/EN/ OR http://www.jryj.org.cn/EN/Y2016/V429/I3/174

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