Can media exposure improve stock price efficiency in China and why?

Jeong-Bon Kim; Zhongbo Yu; Hao Zhang

doi:10.1016/j.cjar.2015.08.001

Can media exposure improve stock price efficiency in China and why?

Research output: Journal Publications and Reviews › RGC 22 - Publication in policy or professional journal

Overview

28 Scopus Citations

Scopus Metrics

View graph of relations

Author(s)

Jeong-Bon Kim
Zhongbo Yu
Hao Zhang

Related Research Unit(s)

College of Business

Detail(s)

Original language	English
Pages (from-to)	83-114
Journal / Publication	China Journal of Accounting Research
Volume	9
Issue number	2
Online published	26 Sept 2015
Publication status	Published - Jun 2016

Link(s)

DOI	DOI https://doi.org/10.1016/j.cjar.2015.08.001 Final Published version
	Check@CityULib
Attachment(s)	Documents 11863811.pdf Final Published version, 835 KB, PDF Publisher's Copyright Statement This full text is made available under CC-BY-NC-ND 4.0. https://creativecommons.org/licenses/by-nc-nd/4.0/
Link to Scopus	https://www.scopus.com/record/display.uri?eid=2-s2.0-84945265689&origin=recordpage
Permanent Link	https://scholars.cityu.edu.hk/en/publications/publication(be04b6f2-c5f4-4dd2-8d8d-87bb8427b156).html

Abstract

The media in China has undergone extensive commercialization to become more market-driven over the last 35 years. Based on a sample of over two million newspaper articles, this study investigates whether the media in China has an incremental impact on stock price efficiency. We find that: as media coverage of a firm increases, (1) its stock price synchronicity decreases; (2) the probability of informed trading of its stock increases; and (3) the extent to which its stock price deviates from random walk decreases. Our inter-regional analysis over thirty-one provinces/regions within China reveals that the effects of the media on decreasing stock price synchronicity, increasing the probability of informed trading, and reducing stock price deviation from random walk are stronger in regions of weaker institutional development. Our findings suggest that a market-driven media can play the role of compensating for the underdeveloped governance institutions in transitional economies such as China.