| The timely and accurate dissemination of information is an important factor in solving the problem of enhancing the efficiency of the stock market.Compared with the developed stock market,the stock market of China is greatly affected by the noise.In order to further enhance the information efficiency of the stock market in China,the Shenzhen Stock Exchange and the Shanghai Stock Exchange respectively launch the internet communication platform.Prior to this,the communication between investors and listed companies mainly relied on the traditional approach,and investors often obtained very limited information.After the emergence of the Internet communication platform,investors could obtain timely and accurate information on the operation and management of listed companies Information to help them make better investment decisions.This paper consists of five chapters: The first chapter is the introduction,first introduces the research background and significance,and domestic and foreign literature to sort out and summarize.The second chapter defines the relevant concepts and theoretical basis,paving the way for the following study.The third chapter is about the mechanism that Internet communication affects the efficiency of stock market.First,it introduces the current situation of Internet communication in China.Then it mainly analyzes the mechanism of internet communication on information efficiency of stock market from the theory of information asymmetry.The fourth chapter is empirical research,this paper selects the Shanghai and Shenzhen A-shares non-financial listed companies from 2007 to 2017 as sample data,the Shenzhen Stock Exchange launched "Interactive" in 2010,followed by the Shanghai Stock Exchange in July 2013 launched the "SSE e-interaction" This paper is divided into two parts.First of all,the introduction of "Interactive" is regarded as an exogenous system.By using the method of double difference,the comparison is between January 2007-June 2013 before and after the launch of this platform Shanghai and Shenzhen.Secondly,after the formal operation of "SSE e-interaction" from July 2013 to December 2017,there is no significant difference in the information efficiency between Shanghai and Shenzhen.The empirical results show that in the period of January 2007-June 2013,after the operation of "Interactive",the phenomenon of the stock price synchronization in Shenzhen obviously decreases compared with the Shanghai stock market.In order to better measure the efficiency of information,this paper selects three indicators of stock price synchronization,variance ratio and private information measure from different perspectives.The empirical results show that from January 2007 to June 2013,,Shenzhen’s stock price synchronization and variance than the Shanghai stock market significantly reduced the measure of private information metrics.In addition,in order to further verify whether the Internet communication affects the accuracy of investors ’access to information and thus make the information better enter the stock price,this paper introduces the seller analyst’s earnings forecast as the proxy index of investors’ rational expectations,and empirically tests after the launch of "Interactive",the seller analysts have significantly reduced the earnings forecast and the forecast divergence in Shenzhen.During the second sample period,the efficiency of information in both Shanghai and Shenzhen increased,but the difference was not significant.The fifth chapter is the conclusion and the policy suggestion.Through comparative analysis of the conclusions of the theoretical foundation and the empirical test of the previous chapters,the article puts forward the countermeasures and suggestions from three aspects. |
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