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Self-media information disclosure and closing price manipulation: Evidence from high-frequency data

Author

Listed:
  • Huang, Yongjian
  • Wan, Zhitong
  • Zhang, Yi
  • Gao, Weiyan

Abstract

Using daily Weibo data obtained through crawler technologies and high-frequency data on stock market in China from 2015 to 2021, this study investigates the relationship between self-media information disclosure and closing price manipulation. We find that self-media information disclosure promotes closing price manipulation, a conclusion that withstands various robustness and endogeneity tests. Heterogeneity test shows that the enhancement effect is mitigated by female chairman and higher shareholding ratio of board or executive, while the effect is enhanced by past manipulation. Mechanism analysis indicates that corporate self-media disclosures increase closing price manipulation by reducing stock liquidity and exacerbating information asymmetry. Further analysis also confirms that the reason behind the mechanism is the increase in insider trading. Our findings highlight the importance of considering the potential for enterprises to manipulate information via self-media when assessing stocks' future prospects and value.

Suggested Citation

  • Huang, Yongjian & Wan, Zhitong & Zhang, Yi & Gao, Weiyan, 2026. "Self-media information disclosure and closing price manipulation: Evidence from high-frequency data," Pacific-Basin Finance Journal, Elsevier, vol. 98(C).
    • Handle: RePEc:eee:pacfin:v:98:y:2026:i:c:s0927538x26001113
    DOI: 10.1016/j.pacfin.2026.103165
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