The Impact of Corporate Social Media Engagement on Stock Price Performance: Evidence from Weibo and Chinese Listed Firms
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Abstract
This study examines the impact of corporate social media on stock price behaviour by analysing firms’ engagement on the Weibo platform in China. It contributes to the literature by assessing how two-way social media communication influences investor perceptions and mitigates information asymmetry. Using a panel dataset of 166 firms drawn from the China Fortune 500 that were continuously ranked between 2018 and 2023 and listed on the Shanghai and Shenzhen stock exchanges, the study combines firm-level financial data with Weibo account information collected via Python-based web scraping. A two-step System Generalised Method of Moments (GMM) approach is employed to address potential endogeneity concerns. The results reveal a negative relationship between Weibo adoption and cumulative abnormal returns. This finding suggests that corporate social media enhances the speed and efficiency of information diffusion, thereby reducing information asymmetry among investors. As a result, stock prices adjust more rapidly to publicly available information, limiting the persistence of abnormal returns around the event window. Overall, the evidence is consistent with the semi-strong form of market efficiency and supports the view that corporate social media serves as an effective disclosure channel rather than a source of excess returns.
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