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The role of different information sources in information spread: Evidence from three media channels in China

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  • Wu, Chunying
  • Xiong, Xiong
  • Gao, Ya

Abstract

Using a comprehensive dataset from 2008 to 2018, we study the role of different information sources (traditional media, new media, and social media) on information spread in the Chinese stock market. The findings reveal varied leading and lagging relationships in the timeliness of fraud information disclosure from three media types and the most significant impact from social media. The results on price synchronicity reveal the significantly negative influence of all media coverages; among them, the impact of new media is in the first position, social media is in second place, and traditional media is the smallest. Furthermore, this influence is more pronounced for firms that are not audited by Big 4 auditors or with lower institutional ownership. In summary, we reveal the different effects of three media channels around fraud events and price synchronicity in China.

Suggested Citation

  • Wu, Chunying & Xiong, Xiong & Gao, Ya, 2022. "The role of different information sources in information spread: Evidence from three media channels in China," International Review of Economics & Finance, Elsevier, vol. 80(C), pages 327-341.
    • Handle: RePEc:eee:reveco:v:80:y:2022:i:c:p:327-341
    DOI: 10.1016/j.iref.2022.02.072
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    More about this item

    Keywords

    Traditional media; New media; Social media; Fraud detection; Price synchronicity;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation

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