OJBM  Vol.7 No.2 , April 2019
R2: Information or Noise? Textual Analysis Based on SSE E-Interaction
Author(s) Ben Wang
ABSTRACT
The question whether R2 represents information or noise is still a fundamental question in the study of stock price synchronicity. There are two main difficulties. Firstly, the trait information of a company is hard to measure; Secondly, the investors’ sophistication is ignored when we discuss the effectiveness of market. Through the study of Chinese SSE E-interaction platform and the measurement by textual analysis method, this article argues that the improvement of investors’ sophistication has negative association with stock price synchronicity. This result is more salient in companies with lower opacity or with higher corporate governance. This paper contributes to the deepen understanding of stock price synchronicity and new method of measuring trait information of companies.
Cite this paper
Wang, B. (2019) R2: Information or Noise? Textual Analysis Based on SSE E-Interaction. Open Journal of Business and Management, 7, 799-816. doi: 10.4236/ojbm.2019.72054.
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