Research on the relationship between investor network interaction and stock price fluctuation——Take “SSE e interaction” as an example

• Main Author: Ren Chunmiao
• Format: Article
• Language: English
• Published: EDP Sciences 2021-01-01
• Series: E3S Web of Conferences
• Online Access: https://www.e3s-conferences.org/articles/e3sconf/pdf/2021/11/e3sconf_netid2021_01072.pdf

Whether the stock price fluctuation in emerging markets such as China is dominated by “information efficiency” or “noise” has aroused many scholars’ disputes. Based on the “SSE e interaction” Q & A data, this paper uses the fixed effect model to study the impact of “SSE e interaction” on the stock price synchronization from 3 perspectives: the lag of the company’s response, the pertinence and the negative emotional tendency of investors. The research found that the targeted response of listed companies to investors’ questions in the “SSE e interaction” significantly improved the synchronization of stock prices, and the lag of the response may be the result of selective and tendentious information dissemination. The negative sentiment of investors has certain information content, but excessive negative sentiment may bring noise to the market. Our research shows that information and “noise” coexist in China’s capital market, but “noise” is still the dominant factor in stock price fluctuations.