TITLE:
Research on the Relationship of Media Attention, Stock Liquidity and Stock Price Informativeness: Based on the Data of Listed Company on GEM of China
AUTHORS:
Ningbo Cao
KEYWORDS:
Media Attention, Stock Liquidity, Stock Price Information Content
JOURNAL NAME:
Modern Economy,
Vol.8 No.1,
January
17,
2017
ABSTRACT: GEM stocks are more susceptible to the attention of
news media because of their liquidity and high risk characteristics. This paper
uses Baidu News search and the data of companies listed on GEM from 2009 to
2015 to investigate the impact of media attention and stock liquidity on stock
price information content respectively and the impact of stock liquidity on the
relationship between media attention and stock liquidity. The results show that
with the number of media news coverage increasing and stock liquidity accelerating, stock information content will also be improved; further studies find
that with the acceleration of stock liquidity, liquidity weakens the
positive relationship between media attention and shares information content.