Research on the Relationship of Media Attention, Stock Liquidity and Stock Price Informativeness: Based on the Data of Listed Company on GEM of China

GEM stocks are more susceptible to the attention of news media because of their liquidity and high risk characteristics. This paper uses Baidu News search and the data of companies listed on GEM from 2009 to 2015 to investigate the impact of media attention and stock liquidity on stock price information content respectively and the impact of stock liquidity on the relationship between media attention and stock liquidity. The results show that with the number of media news coverage increasing and stock liquidity accelerating, stock information content will also be improved; further studies find that with the acceleration of stock liquidity, liquidity weakens the positive relationship between media attention and shares information content.