TITLE:
R2: Information or Noise? Textual Analysis Based on SSE E-Interaction
AUTHORS:
Ben Wang
KEYWORDS:
Investor Sophistication, Stock Price Synchronicity, E-Interaction, Textual Analysis, Chinese Capital Market
JOURNAL NAME:
Open Journal of Business and Management,
Vol.7 No.2,
April
15,
2019
ABSTRACT: The
question whether R2 represents information or noise is still a fundamental
question in the study of stock price synchronicity. There are two main difficulties.
Firstly, the trait information of a company is hard to measure; Secondly, the
investors’ sophistication is ignored when we discuss the effectiveness of
market. Through the study of Chinese SSE E-interaction platform and the
measurement by textual analysis method, this article argues that the improvement
of investors’ sophistication has negative association with stock price
synchronicity. This result is more salient in companies with lower opacity or
with higher corporate governance. This paper contributes to the deepen
understanding of stock price synchronicity and new method of measuring trait
information of companies.