Empirical Research On The Impact Of Network Public Opinion On The Stock Price Volatility

With the development of network technology, social media such as blog, microblogging, social news and networking forums are rapidly filled the Internet space. Network public opinion on the stock market has become increasingly prominent. Increasing number of listed companies has opened the official microblogging, sometimes they announced through the microblogging. Investors are also become more dependent on network to make investment decisions. However, false public opinion also can be spread through the Internet that affecting the price volatility of the markets. Especially China’s stock market is still in the emerging stage of development, that most investors are irrational and does not have a very professional investment theory and knowledge. Because they lack of access to get real information, stock analysis and forecasting ability is limited. For transition economies with weak financial systems, network public opinion is likely to form a break through the defense financial stability of a financial tsunami.Therefore, the research of the impact that network public opinion on the stock price volatility is not only a complements to the behavioral finance, but also to the Efficient Market theory. It provides a new perspective to explore the securities market effect. The significance of this thesis is to explore ways to enhance the supervision of network public opinion, and thus to reduce the problem of securities market inefficiencies caused by asymmetric information. Especially the rapid development of new social media, the abnormal fluctuations of the stock market network caused by public opinion should arouse the attention of the relevant departments.This thesis argues that there may be three effects the impact of network public opinion to the stock market:on the one hand, the Internet provides an effective way for the real information dissemination that network public opinion spread exists a positive effect. On the other hand, the false information through the network spread rapidly, causing the stock market fluctuations, that the network public opinion exists a negative effect on the securities market. Due to the spread of network public opinion has "herding", the public opinion of the sudden event may cause excessive turbulence in the stock market, that the network public opinion make a super effect.The thesis focus on the impact that network public opinion events affect the stock price volatility, we select the event analysis to analyze. Firstly, we tested the three effects that network public opinion on the stock market. Then, combined with the Public Company Accounting indicators, we build regression equations to quantify the impact of public opinion indicators quote change and volume change. Through the empirical analysis we found out that:the nature of public opinion is very important for the impact of price and volume. Different nature of public opinion has different performance to the stock market volatility. For favorable public opinion, the wider the information spread, the smaller the price growth. While for negative public opinion, the wider the information spread, the greater the stock price declines. Chinese investors were not rational investors overall pessimistic mood, that they are more susceptible to the negative public opinion information dissemination.The main innovations of this thesis are reflected in the following folds:First of all, based on the efficient market theory and the behavioral finance theory, we assume that major network public opinion may existence of three effects on the stock price volatility. Setting an extension window to test three effects combined with the announcement of the listed companies.Second of all, the thesis build up functions embedded public opinion indicators to quantify the impact of network public opinion on the stock volatility. This thesis provides a new perspective for the Chinese stock market fluctuations research, and provides a new perspective the management of listed companies and securities regulators to reform the information disclosure mechanism.Due to the limitation of time and other issues, there are also a few drawbacks within this thesis:First of all, due to the lack of web mining technology, the extraction of the text information is limited that the public opinion indicators seems to be rather rough. With the development of information technology, further research is needed to build public opinion indicators that reflect the sentiment of the majority of Internet users.Second of all, this thesis just talked about the short-term effects of stock fluctuations, and for the time lag effect,linkage effects, and the long-term effects need further study.