Media Coverage, Institutional Ownership and Stock Price Non-synchronicity

Abstract

Abstract:

Based on the theories that explain how media coverage and institutional ownership affect stock price fluctuations, this paper examines the relationship between stock price non-synchronicity and media coverage, and the effect of institutional ownership's proportion on this relationship, by using data from Baidu search engine and from Chinese listed companies. The results show that there is a U-shape relationship between the stock price non-synchronicity and the media coverage, i.e. the stock price non-synchronicity decreases with the increment of the number of media coverage when a stock is poorly reported by media, while it increases with the increment of the number of media coverage when it is reported richly. Moreover, the proportion of institutional ownership will reduce the above U-shape relationship. The findings suggest that the media plays a role of information provider in Chinese stock market on the whole, and direct evidence is provided to demonstrate different investors' reactions to media.

Key words: media coverage, institutional ownership, stock price non-synchronicity

Yang Jie, Zhan Wenjie, Liu Ruizhi. Media Coverage, Institutional Ownership and Stock Price Non-synchronicity[J]. , 2016, 28(12): 30-40.

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