Research On The Relationship Between Media Sentiment, Investor's Attention And Stock's Characteristics

With the development of China's stock market,China's domestic media environment has also undergone enormous changes.Media channels continue to widen,the source of diversification and the number are enriched,the media on the impact of financial markets are increasingly concerned about.On the one hand,the stock market in the stock price and the number of shares of the transaction is characterized by the stock investors in accordance with various channels to obtain the relevant information on the future development of listed companies to prejudge and trade formation.On the other hand,since the 21 st century,web2.0and other technologies in human life in various fields widely used.In the process of financial investment,more and more investors are obtained the appropriate information through these channels.Reference to the existing research literature at home and abroad,more is only the use of media sentiment or investor attention to the characteristics of the stock market,respectively,few scholars also consider the impact of the media sentiment or investor attention to the stock market returns,or stock liquidity.Based on the existing literatures,this paper makes use of the daily financial panel data for all companies listed in China's A-share market before May 31,2016,from January 1,2014 to May 31,2016.And use the snowball financial forum on the daily number of stocks to build investor attention,the daily network of media coverage to build media sentiment.At the same time,according to the characteristics of media sentiment,the whole sample data is divided into differentiated group and convergence group.The influence of media sentiment and investor attention on stock returns and stock liquidity is analyzed by panel data regression method.The empirical results show that:(1)No matter what kind of media emotional state,the total media sentiment has a significant positive impact on stock returns and stock trading volume.The media sentiment can be with the stock returns and stock trading volume in the same direction,the greater the media sentiment,stock returns and stock trading volume is also greater.At the same time,from the statistical or economic sense,negative media sentimentand positive media sentiment on the stock return,the impact of stock trading has asymmetry.(2)Regardless of the state of media sentiment,the investor's attention to the stock returns,stock trading volume regression coefficient is significantly positive.That is,the higher the degree of investor attention,the greater the stock return or stock trading volume.At the same time,when media sentiment converges,investor attention has the greatest impact on stock returns.When the media sentiment differentiation,the investor attention degree has the greatest impact on the stock trading volume.The conclusion shows that the regulation of the media should be strengthened and the sound news reporting system should be established to avoid the fluctuation of the stock market due to the extreme fluctuation of the media sentiment.In real investors,investors should take into account the media emotional factors and the impact of investor concerns factors.