| Chinese concept stocks experienced two waves of shorting during the overseas listing process.The first time was from 2011 to 2012,including attacking Jiahan Forestry and New Oriental by Muddy Waters.In the same time,China Evergrande and Qihoo 360 was attacked by Citron Research.The second time from the end of 2016 to the first half of 2017,a series of companies were shorted,including:Huishan Dairy,Hongqiao China,Fullshare Holdings Limited,AAC Technologies.Short events once again was widely reported by the media and caught the attention of investors.In the era of Internet and Big Data,search engines have become an important way for investors to obtain information.More and more investors use the Internet to search for relevant information.Baidu has caught this opportunity to launch the Baidu Index.This paper uses its search index and media index as a measure of investor attention and media attention.This paper first describes the relationships of the media attention,investor attention,and stock price usuing 21 statistical samples.Then,referring to Da's(2011)model,we established a panel data regression model for media attention and investor attention on stock returns about short events.We study the following three contents:(1)the impact of individual trend on media attention and stock returns in short events;(2)the impact of individual trend on investor attention and stock returns in short events;(3)the influence of interaction between media attention and investor attention on stock returns in short events.This paper also studies the extreme cases,such as Hanergy's stock price,the short-selling of China High-speed Channels and the South East Financial Exchange Inc.,etc.from media attention and investor attention with the changes in stock prices.Then we give investor's suggestion about short-selling events.Finally,the conclusions of this paper are drawn,and some problems existing in the paper and future research directions are elaborated. |
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