自媒体披露对资本市场信息效率的影响研究

Research on Impact of We Media Disclosure on Capital Market Information Efficiency

为检验上市公司自媒体信息披露对资本市场信息效率的影响,本文以微博代表自媒体,运用PSM-DID模型研究发现:上市公司开通微博和发布信息,特别是原创信息,可提升个股流动性、降低股价延迟,即提升资本市场信息效率;当公司的信息环境较差时,提升作用更为显著,由此揭示提升作用的机理在于改善公司原有的信息环境。

In order to test the impact of we media information disclosure of listed companies on the capital market information efficiency, this paper takes Weibo as the representative of we media, and uses PSM-DID model to find that the opening of Weibo and the information release, especially original information release by listed companies can improve individual stock liquidity and reduce stock price delay, that is, improve the information efficiency of the capital market;for companies located in a poor information environment, this promotion effect is even more significant, which reveals that the mechanism of the promotion effect lies in improving companies’ original information environment.