Journal of East China Normal University (Philosoph ›› 2017, Vol. 49 ›› Issue (6): 136-143.doi: 10.16382/j.cnki.1000-5579.2017.06.014

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Company News, Investors' Attention and Stock Price Movement:Evidence from a Stock Forum

YE De-lei, YAO Zhan-lei, LIU Xiao-zhou   

  • Online:2017-11-15 Published:2017-11-16

Abstract:

Will news about listed companies, which reflects media attention, and investors' attention to certain companies or stocks affect the price movement of the corresponding stock? This has become an important research field of behavioral finance. Based on the data converted by over 370 thousand pieces of information tracked in a stock forum for half a year, this paper shows that investors' attention, which is measured by the number of posts in the stock forum, company news and announcements all have significant effects on the price volatility of related stocks within a week. However, these effects are time-sensitive and short-term. Posts and announcements released in the stock forum in a certain week have no significant correlation with the range of rise or fall in stock price that week as well as the week after, while company news have obvious positive impacts on that weeks' rise-decline range of stock price. There is little correlation between company news and announcements. However, news reports about listed companies will catch the attention of investors to some extent.

Key words: Stock forum, investors' attention, stock price, posts, company news, company announcements