The Relationship Between "New Media Sentiment" And Asset' Price And Volatility

In recent years,the Internet has been developing rapidly in China.Investors can obtain a large amount of information in new media channels,which can enable investors to more fully grasp the market conditions of asset prices.However,mass media cannot simply disseminate information without their own processing.When reporting on the company,it will also add its own opinion on the company's operating status,financial statements,or stock investment advice,that is,the media has intentionally or unintentionally added some media sentiment when reporting information.This article studies the relationship between the weekly new media sentiment index and asset price changes from the perspective of behavioral finance,in order to discover the positive effects of new media and negative emotions in asset prices and volatility.The data source of this article is the new media website represented by Tencent,NetEase,Sina,and Sohu.The time of news report data is from 2015 to 2017.Baidu Engine and Sina.com website are used for data collection.There are 15 different types of SSE 50 stocks.The next step in the industry's stock market is to quantify the weekly data reported by the new media.The new media mood indicators are mainly composed of two aspects:new media sentiment(negative,neutral,positive)and new media influence.When dealing with media-sourced data,it was found that mainly positive and neutral reports dominated,and negative reports were less.Finally,Garch-m model is used for data processing analysis.The Garch-m model is based on volatility modeling.This paper adds an exogenous variable new media emotion.Based on the data of 15 stocks in the Shanghai 50 Index,this paper finds that there is a significant positive effect between new media sentiment and asset prices.There is a significant relationship between new media sentiment and asset price volatility,but no positive or negative influence can be drawn.There are many factors that can influence the asset price changes,such as enterprise value,this paper found that the new media sentiment has some influence on asset prices and its volatility,so the regulators in maintaining the stability of financial markets and at the same time to focus on new media role to the market changes.New media sentiment can transfer this sentiment to the financial market by influencing investor sentiment.New media sentiment with "bias" may reduce the market's pricing efficiency through investor channels.The content structure of this paper is as follows:the first chapter introduces the research background,research significance,and the introduction of research ideas and research methods,and finally introduces the innovation points and shortcomings of this paper.Chapter 2 introduces the domestic and foreign literature review.Based on the theory of the limited attention and the spiral of silence,we introduce the study of media,Internet search and asset price changes in China,and then extend the study of media sentiments and asset price changes.The fourth chapter introduces variable setting and data selection.The fifth chapter is the econometric analysis of the changes of new media sentiment and asset price.The sixth chapter introduces the conclusion of the paper and its policy implications.