How Does News Affect Stock Market Trading Volume?

In the Internet news era,an important source of financial news is the search engine.Fortunately,the Baidu Media Index(BMI henceforce)provides a data series since 2011.Baidu.com,who is the owner of BMI,claims that BMI is edited automatically by the Baidu search engine,and is never manually intervened.Such interesting editing mechanism provides a unique perspective and dataset to explore the relationship between transactional trading data and the impact of financial news.BMI data,daily trading data and transactional trading data are crossly inspected in this dissertation,in order to investigate how financial news influences the stock market in the Internet news era.And the following conclusions are reached:(1)In trading days,the more the BMI is,the more the daily trading volume is.This conclusion is perfectly in line with previous literacture.(2)Controlling the level of daily returns,the positive correlation between BMI and daily trading volume still exists.But this is a kind of asymmetric positive correlation.(3)Most importantly and interestingly,when investigating the conditional correlation between the BMI and the trading volume in continuous trading period,large-size transactions are found to be the major driving force to cause the large daily trading volume increase.This finding is quite different from previous literature on unconditional correlation examinations.(4)Using the BMI as a proxy of "overnight financial news",significant correlation between the trading volume of batch trading period and the BMI may also be detected.But such correlation is statistically significant while economically small.