Social media, interaction information and stock market efficiency: evidence from the Shenzhen stock exchange easy interaction platform in China

This paper studies the impact of interaction between investors and listed companies on market efficiency from two perspectives of earnings expectation and information asymmetry. We conduct an empirical analysis of the Shenzhen Stock Exchange Easy Interaction (SSEEI) platform. The interactive text is used to build interactivity indicators showing that the platform provides an important way to increase stock market efficiency. We further study how the interaction affects market efficiency using the emotion dictionary and the Latent Dirichlet Allocation (LDA) model. The results show that both good and bad news discussed on the platform are significant to market efficiency.