Intra-Industry Information Diffusion In China Stock Market
| dc.contributor.author | Dong Chi | |
| dc.date.accessioned | 2016-12-14T06:55:17Z | |
| dc.date.available | 2016-12-14T06:55:17Z | |
| dc.date.issued | 2016-06 | |
| dc.description.abstract | Under the assumption of Efficient Market Hypothesis (EMH), stock prices completely reflect all commonly available information. Consequently, information instantly diffuses in a complete and frictionless market. However, a few frictions usually appear on the process of information diffusion in real financial market. Information diffusion might be affected by various kinds of factors. Concentrating on intra-industry, the central focus of the study is the systematic investigation of information diffusion in China stock market. The panel and conditional vector auto-regression procedures are employed to detect the intra-industry information diffusion. This study uses 1175 companies from seven industries for the period of 2002 to 2013. Based on seven sample industries, including time-series data and panel data investigations, the study explores the impacts of internal and external determinants on the intra-industry information diffusion in China stock market. The study discovers the internal determinants of intra-industry information diffusion, namely firm size, trading volume and book/market (BM) ratio, to have an effect on the process of information diffusion. Big firms and high trading volume firms as well as high BM ratio firms usually have faster speed of intra-industry information diffusion in China stock market. Meanwhile, as the external determinant of information diffusion, the market conditions also could affect the process of intra-industry information diffusion. Regardless of shorter and longer horizons of market condition, the results display there are more obstacles in the process of intra-industry information diffusion when the market falls off. The results further suggest the speed of intra-industry information diffusion in down market becomes slower than that in up market. On the contrary, when the market is turning upward, the speed of intra-industry information diffusion turns faster. Furthermore, the study also discovers policy change, as another external determinant, could influence the process of intra-industry information diffusion in China stock market. Specifically, policy changes in China stock market are found to impede the process of intra-industry information diffusion. Along with policy changes of China stock market, the speed of intra-industry information diffusion between big and small stocks declines. Therefore, policy changes in China stock market seem ineffective to some degree. However, continuously decreasing information volatility of intra-industry information diffusion is also noticeable in China stock market. The results imply policy changes are useful from other aspect. | en_US |
| dc.identifier.uri | http://hdl.handle.net/123456789/3281 | |
| dc.subject | The systematic investigation of information diffusion | en_US |
| dc.subject | in China stock market. | en_US |
| dc.title | Intra-Industry Information Diffusion In China Stock Market | en_US |
| dc.type | Thesis | en_US |
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