Social networks，investor attention and stock price synchronicity
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摘要:
随着以微博、微信为代表的社交网络信息平台在中国的崛起，形成了新媒体时代下信息资讯生成与扩散的完整传播链条，深刻地影响着金融市场参与主体的学习认知习惯、投资决策理念、交易行为模式，最终影响不同金融资产的价格波动规律． 本文在新媒体时代情景下，以社交网络信息披露与传播平台为切入点，基于信息关注度、信赖度、更新频率等三层维度，构建社交网络微博信息质量指标体系，研究社交网络信息质量与股价同步性的内在关联关系． 研究表明: 微博信息质量与股价同步性有着显著的高度负向线性关联性，并且呈现出非线性 U 型关系． 即随着社交网络信息质量水平的提升，股价同步性逐渐降低到达最小值，而后又逐渐提高． 研究结论为证明上市公司社交网络微博平台对股价同步性有较强影响力，提供了中国金融市场的证据．
Abstract:
As the rising of social networks，represented by Micro-blog and we chat，in China，a full message dissemination and diffusion transmission chain has formed during the new media era，and profound influences have been made on the habits of individual cognitive learning，investment philosophy，behavioral patterns， and asset prices patterns in financial markets． In the scenario of the new media，this study investigates the correlation between micro-blog information quality and stock price synchronicity，taking the financial social networks platform as the breakthrough point． Based on the three dimensions of information attention，network reliability，and update frequency，the paper first constructs a index system for network information quality， then theoretically and empirically studies the influence of the social network‘s information quality on stock price synchronicity． The findings suggest the connection between the two is clear negative and U-shaped rela-tions． Our results provide evidences from Chinese stock market to confirm the validity of social networks on stock price synchronicity．