The Leaders' Shadow: Excessive Information Spillover in the Chinese Stock Market
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Journal Article
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Wiley
Abstract
This study investigates information spillover from industry leaders to peer firms during the leaders' earnings announcements (EAs) in the Chinese stock market. We find a positive information spillover, which is subsequently corrected when peers announce their own earnings, indicating excessive information spillover (overreaction). We further identify several reasons for the overreaction: (1) investors' overweighing of leaders' earnings in evaluating peers' earnings; (2) investors' abnormal searching and trading behaviours, particularly among retail investors; and (3) peer firms' poor information environment and limits to arbitrage. These findings suggest that overreaction could be more prominent in less mature, retail investor-dominated markets like China.Description
Keywords
3801 Applied Economics, 35 Commerce, Management, Tourism and Services, 38 Economics, 3502 Banking, Finance and Investment, 3507 Strategy, Management and Organisational Behaviour, 1402 Applied Economics, 1501 Accounting, Auditing and Accountability, 1502 Banking, Finance and Investment, Accounting, 3501 Accounting, auditing and accountability
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Accounting & Finance, ISSN: 0810-5391 (Print); 1467-629X (Online), Wiley, 65(3), 2454-2486. doi: 10.1111/acfi.70003
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This is an open access article under the terms of the Creative Commons Attribution License, which permits use, distribution and reproduction in any medium, provided the original work is properly cited. © 2025 The Author(s). Accounting & Finance published by John Wiley & Sons Australia, Ltd on behalf of Accounting and Finance Association of Australia and New Zealand.