R2: Information or Noise? Textual Analysis Based on SSE E-Interaction - Open Journal of Business and Management

OJBM > Vol.7 No.2, April 2019

R²: Information or Noise? Textual Analysis Based on SSE E-Interaction ()

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DOI: 10.4236/ojbm.2019.72054 593 Downloads 1,230 Views

Author(s)

Ben Wang

Affiliation(s)

Management School, Jinan University, Guangzhou, China.

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.

KEYWORDS

Investor Sophistication, Stock Price Synchronicity, E-Interaction, Textual Analysis, Chinese Capital Market

Share and Cite:

Wang, B. (2019) R²: Information or Noise? Textual Analysis Based on SSE E-Interaction. Open Journal of Business and Management, 7, 799-816. doi: 10.4236/ojbm.2019.72054.

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