The Effect Of Internet Investor Relation Management On Stock Price Volatility In GEM

Since GEM(Growth Enterprise Market)was built by the Shenzhen Stock Exchange on October 30th,2009,the stock price volatility of listed companies in GEM has been large and the phenomenon of "skyrocketing and plummeting" occurs frequently because of its low threshold of IPO,not in place of supervision and other reasons,which means the stability of GEM is weak.As a typical emerging capital market,GEM has an opaque information environment,and the phenomenon that listed companies and regulators do not attach importance to protecting the interests of investors is widespread.In an environment of opaque information,investors are prone to make speculative behavior or other irrational investment decisions,which results in abnormal fluctuations in stock prices.What' more,the listed companies take a passive attitude to investor and ignore the benefit of investor,which further aggravates the volatility of stock price.With the rapid development of the internet,in order to improve the level of investor relationship management of listed companies and protect the interests of the majority of investors,Shenzhen Stock Exchange launched the "Interactive Easy" platform on January 1st,2010,and upgraded the system based on Web 2.0 on November 12th,2011.Through the platform,investors can ask the companies listed on Shenzhen Stock Exchange any questions about the asked companies at any time and wait the asked companies to answer.Considering that "Interactive Exchange" platform is an official investor relation management platform set up by the Shenzhen Stock Exchange,thus the degree of correspondence between the content of the responses of listed companies and the content of questions raised by investors can be regarded as the level of investor relationship management of listed companies.In other words,it can be regarded as the degree of attention to the investor relationship of listed companies,as an index to measure the level of IIRM(internet investor relation management).However,how does the IIRM based on"Interactive Exchange" platform affect the stock price volatility of companies listed in GEM in the internet environment?Can IIRM play an important role in stabilizing the GEM market?This paper takes the companies listed in China's GEM market as the research object to analyze the influence of IIRM level on stock price volatility.Firstly,the interactive exchange data of "Interactive Exchange" platform are captured by locomotive software.Secondly,we clean and process the data with SQL and R.After that,we get the document-word matrix of the corpus.Thirdly,we employ the LDA(Latent Dirichlet allocation)model to discover the topics of the text of questions and answers and then use the cosine similarity to compute the similarity between the questions and answers,which makes us get the IIRM index.Finally,this paper empirically analyzes the impact of IIRM on the stock price volatility,and makes a robust test of the estimated results.The results of this study show that IIRM based on "Interactive Exchange"platform is useful for reducing the stock price volatility and stabilizing the GEM market.Besides,IIRM can still significantly reduce stock price volatility of the listed companies with high ownership concentration.This study has main two contributions.Firstly,this paper constructs the IIRM index with LDA model and text similarity based on "Interactive Exchange" platform,which is a new method for the construction of IIRM index.Secondly,this paper empirically analyzes the impact of IIRM on the stock price volatility of companies listed in GEM and from this study,we can know that the IIRM based on "Interactive Exchange" platform can reduce the stock price volatility,which has a positive effect on stabilizing the GEM capital market.Therefore,the companies listed in GEM should play more attention to the IIRM,which can help them increase the value of listed companies.