Research On The Impact Of Heterogeneous Media On Investor Behavior And Stock Market

Media plays an important role in the capital market.Media is not only the information intermediary,and the subjective emotion tendency of media may also affect the behavior of investors and then affect the capital market.China has a unique media environment.On the one hand,the government media such as People's Daily and the Xinhua News Agency have very high authority and a great voice.On the other hand,relying on the rapid development of the Internet,the non-government media such as the Sina net have a wide range of audience.The government media and the non-government media have different characteristics.As the mouthpiece of the government,the government media not only plays the role of information transmission,but also plays the role of political communication.The non-government media is more interested in attracting attention and reports for profit.Due to the different reporting motives of the government media and the non-government media,the sentiment and content of news reports are different.Research on the impact of heterogeneous media on the stock market has important theoretical significance:it can expand the scope of existing research,broaden the research on media and deepen the research on the mechanisms by which stock prices are affected.It also has important practical significance: it can provide reference for market regulators,market participants and media regulators.This paper studies the impact of heterogeneity media on investor behavior and stock market from three aspects of heterogeneous media: information sources,media sentiment and the content of media coverage.Considering the research object is macroeconomic news,this paper studies the content of media coverage from the perspective of economic policy uncertainty reported by media.The research content contains different dimensions: at the micro level,it studies the impact of information sources on investor expectations and behavior;at the market level,it studies the impact of heterogeneous media sentiment and economic policy uncertainty reported by heterogeneous media on stock market returns;at the level of individual stocks,it studies the impact of economic policy uncertainty reported by heterogeneous media on stock price crash risk.The research focuses on the influence mechanism of heterogeneous media on stock market through investor behavior,studying comprehensively and deeply in both horizontal and vertical dimensions.From the perspective of information source,this paper studies the impact of information source on investors' expectations and behaviors.It is found that the credibility of government media is higher than that of nongovernment media,and investors are more inclined to make investment decisions based on news from more reliable source.The differences of investors' expectations and behavior caused by different information sources are more significant facing negative news than facing positive news.The differences of investors' expectations and behavior caused by different information sources are more significant for declining and non-trending stocks than for rising stocks.Different initial states will affect investors' stock price prediction and investment behavior,and sellers are more sensitive to differences in news sources than buyers are.From the perspective of media sentiment,this paper studies the impact of heterogeneity media sentiment on stock market returns.First,quantitative analysis of heterogeneous media sentiment found that the sentiment of government media is more positive than that of non-government media,and the divergence of government media sentiment is smaller than that of non-government media.This paper also studies the impact of heterogeneity media sentiment on stock market returns,finding that the sentiment of nongovernment media has a significant positive impact on stock market return,while the sentiment of government media has no significant impact on stock market return,which may be because the sentiment of government media is mostly positive and investors are more sensitive to negative news.Whether for the government media or the non-government media,the influence of media sentiment on stock market return is more significant in the case of negative sentiment than positive sentiment,and the influence of media sentiment on stock market return is more significant in the bear market than in the bull market.The mechanism of how media sentiment affects stock market return is further studied,finding that media sentiment can affect investors' noisy trading behavior,and then affect stock market return.From the perspective of the content of media coverage,this paper studies economic policy uncertainty reported by heterogeneity media and its effect on stock market return,finding that the economic policy uncertainty reported by government media has a significant negative impact on stock market return,while the impact of economic policy uncertainty reported by non-government media on stock market return only exists in the state of high yield,and the impact is positive.Through the study of Markov Regime-Switching model,it is found that the economic policy uncertainty reported by the government media can predict the stage of stock price decline,while the economic policy uncertainty reported by the non-government media can predict the stage of stock price rise.The fitting effect and the prediction accuracy of the Markov RegimeSwitching model are better than those of the linear model,indicating that the relationship between economic policy uncertainty and stock market return is nonlinear,and the Markov Regime-Switching model based on economic policy uncertainty reported by the government media has the best prediction effect.This paper further studies the impact of economic policy uncertainty reported by heterogeneity media on stock price crash risk from the individual stock perspective,finding that the economic policy uncertainty reported by government media has a significant positive correlation with stock price crash risk,which is immediate,lasting for a short time,and then reverses,and the economic policy uncertainty reported by nongovernment has no significant effect on stock price crash risk.The study also finds that compared with nonstate-owned enterprises,the stock price crash risk of state-owned enterprises is more affected by economic policy uncertainty.In addition,the stock price crash risk of firms with higher degree of information asymmetry and with higher degree of investor disagreement is more affected by economic policy uncertainty.These results indicate that the mechanism of the economic policy uncertainty affecting stock price crash risk is the management's concealment of bad news and short selling restrictions.The results of this study show that the credibility,sentiment and content of heterogeneous media are different,and heterogeneity media have different impacts on investor behavior and the stock market performance.Innovations and contributions of this paper are as follows.First,from the research perspective,this paper studies the impact of different types of media's sentiment and content on the stock market,comparing the impact of government and non-government media on the stock market,expanding a new research perspective.In addition,this paper studies macro media reports,most of the existing research focused on the individual stocks and rarely studied from a macro perspective,this paper expands the macro research perspective.Second,from the perspective of research methods,this paper uses experimental research to study the influence of information sources on investors' expectations and behaviors.At present,most studies in this field are empirical studies.Experimental studies can observe investors' behaviors under controllable conditions and avoid endogenous problems at the same time.Third,from the perspective of influencing mechanism,this paper studies the impact of information sources on investors' expectations and behaviors,which helps to explain the mechanism of media affecting stock prices from the micro level.Fourth,from the perspective of research data,this paper uses data of different frequencies and uses different models to analyze,comprehensively describing the impact of heterogeneous media on the stock market at different time frequencies.Fifth,from the perspective of quantification methods,this paper compares the accuracy of different text sentiment quantification methods,such as dictionary method,naive Bayes method and support vector machine method,and adopts the support vector machine(SVM)machine learning method which has the highest accuracy for research.