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Data Analysis and Knowledge Discovery  2018, Vol. 2 Issue (4): 20-28    DOI: 10.11925/infotech.2096-3467.2017.1172
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Media Information and Overtrading——An Empirical Study on Micro-Blog Posts, Industry News and Company Announcements
Cen Yonghua1(), Zhang Can1, Wu Chengyao2
1School of Economics and Management, Nanjing University of Science and Technology, Nanjing 210094, China
2College of Finance, Nanjing Agricultural University, Nanjing 210095, China
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Abstract  

[Objective] This paper tries to discover the impacts of micro-blog posts, industry news and company announcements on investors’ overtrading. [Methods] We examined the variations of the abnormal stock turnover rates before and after information disclosure from different channels. [Results] Media information posed significant impacts on overtrading, including the insider effect, information disclosure effect and lasting effect before, during and after the disclosure. Besides, investors were more likely to overtrade once exposed to negative news than positive news. The limited attention, selective attention, and mood fluctuation, were correlated to the investors’ trading behaviors. [Limitations] The sample size could be expanded. Individual investors may not be aware of the findings. [Conclusions] Media information catalyzes the overtrading of irrational investors.

Key wordsMedia Information      Over-trading      Turnover Rate      Event Study      Bounded Rationality     
Received: 22 November 2017      Published: 11 May 2018
ZTFLH:  F832.51  

Cite this article:

Cen Yonghua,Zhang Can,Wu Chengyao. Media Information and Overtrading——An Empirical Study on Micro-Blog Posts, Industry News and Company Announcements. Data Analysis and Knowledge Discovery, 2018, 2(4): 20-28.

URL:

https://manu44.magtech.com.cn/Jwk_infotech_wk3/EN/10.11925/infotech.2096-3467.2017.1172     OR     https://manu44.magtech.com.cn/Jwk_infotech_wk3/EN/Y2018/V2/I4/20

媒介信息类型 事件前期[T-10,T-6] 内幕期[T-5,T-1] 发生期[T0,T4] 延伸期[T5,T9]
真实换手率 异常换手率 真实换手率 异常换手率 真实换手率 异常换手率 真实换手率 异常换手率
微博-可预知 3.159 0.213 2.823 0.301 3.033 0.193 3.242 0.262
微博-突发 2.392 0.023 2.551 -0.114 2.355 0.934 2.503 0.381
行业新闻 2.855 0.121 2.671 0.322 2.794 0.923 3.620 0.965
公司公告 2.828 0.092 2.851 0.330 3.072 0.680 3.183 0.110
利空 3.252 0.098 3.045 0.294 2.828 0.649 3.735 0.276
利好 2.467 0.087 2.258 0.130 2.503 0.624 2.527 0.370
媒介信息类型 前期与
内幕期
内幕期与
发生期
发生期与
延伸期
延伸期与
内幕期
微博-可预知 0.410 0.259 0.450 0.468
微博-突发 0.082 0.001** 0.004** 0.014*
行业新闻 0.065 0.003** 0.416 0.012*
公司公告 0.035* 0.133 0.004** 0.179
利空 0.080 0.043* 0.021* 0.466
利好 0.355 0.007** 0.103 0.017*
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