The Impact Of Online Public Opinion On Stock Returns

With the rapid development of network technology,the network public opinion environment faced by the company is becoming more and more complex.More and more companies in the market have fallen into crisis due to negative public opinion,so this paper uses this as a starting point to explore whether the network public opinion environment of listed companies will affect the performance of the company in the stock market,that is,the impact of its network public opinion environment on the company’s stock yield.Specifically,this paper studies 50 listed companies in the Shanghai Stock Exchange 50 Index from January 1,2019 to December 31,2020,and constructs time series data for empirical research.Since there are two indicators of the explanatory variables constructed in this paper,this paper first uses multiple regression analysis to deal with these two explanatory variables.Secondly,in order to clarify the meaning of each explanatory variable,this paper defines the two variables and crawls the data to obtain the stock bar comment bullish index representing the public opinion of the shareholders and the news report bullish index representing the public opinion of the news media.Finally,this paper uses the two explanatory variables to carry out regression analysis on the stock return,and explores the relationship between the public opinion of listed companies and their daily stock return.And further use TVP-VAR to study the lag effect of online public opinion environment on stock returns.The empirical results show that the positive online public opinion of listed companies can promote the excess return of listed companies’ stocks on the same day.Specifically,investors’ comments on the bullish index and positive news in the news report can bring positive impact on the company and promote the company’s stock to obtain a higher daily yield.When further studying the lag effect of the network public opinion environment,it was found that the impact of investor comments and financial news reports on the daily return of the company’s stock was significantly different,and was significantly affected by external emergencies.At the same time,in order to ensure the validity and reliability of the conclusions,this paper carries out the robustness test and endogenous analysis.Among them,the test is mainly achieved by changing the calculation method of the explanatory variable index and changing the sample interval.The final test results show that the conclusions obtained in this paper have good robustness.In order to test the different impact of online public opinion on different companies,this paper also conducted a heterogeneity analysis,and found that online public opinion also has a differentiated impact on companies of different sizes and industries.Finally,the article puts forward three suggestions.First,monitor the company’s manipulation of public opinion and maintain the order of information dissemination in the capital market.Second,strengthen the supervision of information disclosure and reduce the degree of information asymmetry.Third,strengthen the supervision of network public opinion and guide the healthy development of network public opinion.