Media Attention And Price Anomalies Of New Stocks

The news media is an important carrier in information transmission progress, the realization of the price discovery function of capital market depends on the efficiency of information transmission and feedback. Price anomalies of new stocks are quite common phenomenon in our country, which means the rationality of pricing mechanism in issuance market and the efficiency of value returning process in second market should be further improved. During the whole information transmission mechanism, as a crucial intermediary, media attention will have influence both on the information cognition structure and on the psychological mood of the market participants, while the effects of media attention can vary due to the different market investor’s structure and other factors. Therefore, in order to measure information efficiency of stock market, it is necessary to conduct a further research combining the actual data, to measure the effectiveness of the different mechanism between media attention and the price of new shares.This article selects the new stocks listed in Growth Enterprises Market(GEM) from 2009 to 2014 as the research sample, and creates the media coverage index and media sentiment index to measure ‘media attention’. Then we carry out series multiple regression analysis between the media attention and the return of new stocks in first day and in long term after the initial public offering respectively. Besides, we also conduct a complementary research on the difference of media attention mechanism in different market conditions. According to the results of research, since the investors in the growth enterprise market are full of speculation emotion and lack the ability to recognize the right message, media attention does not help the investors to deepen the degree of information cognition, instead, it affects the price of new stocks mainly through the emotion guidance path, and the effect is a short-term resistance, which will not have sustained influence on subsequent price discovery progress, thus causing the frequent appearance of ‘Price anomalies of new stock’. The mechanism of action to media attention of new stocks’ price, will show some differences in different market conditions. In periods of market downturn, the negative media coverage has begun to play the role of deepening the information cognition of investors, prompting price of new stocks return to rational level to some extent. Therefore, based on the above conclusions, this article finally puts forward a series of suggestions from the perspective of media, market and investors, in order to enhance the effectiveness of media attention from the each link in the information transmission and price feedback mechanism, so as to improve the efficiency of information transfer in new stock market and assist the capital market to achieve the function of price discovery better.