Research On The Effect Of Investor Sentiment And Network News On Stock Price Synchronicity

Stock price synchronicity refers to the degree to which the individual stock return changes with the market return or the industry return,also known as "rise and fall in lockstep".The phenomenon of "rise and fall in lockstep" is especially obvious in China.A lot of literature suggests that the high stock price synchronicity will reduce the efficiency of asset allocation,damage the effective governance of the company,and finally affect the macro economy.The rise of behavioral finance makes scholars pay attention to the influence of investor sentiment on the stock market,which also provides a new perspective for researching the formation of stock price synchronicity.The accurate quantification of investor sentiment is a difficult problem,but the popularization of the Internet and the development of artificial intelligence technology make it possible to quantify investor sentiment through text analysis of stock forum posts.In addition,the vigorous development of network media has increased the channels for investors to understand corporate information.How network media can regulate the relationship between investor sentiment and stock price synchronicity is worth studying.Based on the efficient market hypothesis,limited rationality theory of investors,information efficiency hypothesis and other theories,this paper using text analysis of stock forum posts to quantify investor sentiment.This paper decomposes the individual stock investor sentiment into the commonality and the specialty of investor sentiment.The variable of online financial media attention is further added to explore its regulating effect on the relationship between investor sentiment and stock price synchronicity.Finally,the size of the attention regulation effect of network media with emotional bias and neutral is analyzed to illustrate the influence of different types of network news.The paper selected 1259 companies in China's stock market from 2010 to 2018 for analysis.The results show that the higher the investor sentiment,the higher the stock price synchronicity,but pessimistic investor sentiment has no significant effect on the stock price synchronicity;There is an inverse U-shaped nonlinear relationship between investor sentiment and stock price synchronicity,it shows that the hypothesis of irrational factors under extreme emotions is valid.After decomposes the individual stock investor sentiment into the commonality and the specialty of investor sentiment.The results show that both the commonality and the specialty of investor sentiment have an impact on stock price synchronicity,and the specialty of investor sentiment matters more.After considering the network media attention.The results show that the increase of network news attention will weaken the influence of investor sentiment on the stockprices synchronicity,further supporting the information efficiency hypothesis.Finally,the network news is divided into two categories: news with emotional bias and neutral news.The results show that compared with neutral network media attention,network media attention with emotional bias can weaken the influence of investor sentiment on stock price synchronicity to a greater extent.This paper quantifies investor sentiment based on the text analysis of stock forum posts.This paper studies the effect of investor sentiment on stock price synchronicity from the perspective of individual stocks,and studies the regulating effect of network financial media attention.The conclusion of this paper provides a new perspective for the causes of the stock prices synchronicity,and provides a reference for improving the efficiency of the stock market,standardizing the network media coverage,and the impact of online public opinion on the stock market.