Research On The Effect Of Financial Asset Price Volatility Of Online Public Opinion

With the rapid development of Internet information technology,new media such as various portals,Weibo,We Chat,and mobile clients have risen rapidly,becoming an important platform for information dissemination and communication.Internet public opinion profoundly affects the cognitive emotions and investment decisions of financial market participants,and ultimately affects the law of financial asset price volatility.In the current stage of development,China has to face the severe impact of the Novel Coronavirus Pneumonia epidemic,and deal simultaneously with the slowdown in economic growth,making difficult structural adjustments,and absorbing the effects of previous economic stimulus policies.Under the dual test,the prices of financial assets frequently fluctuate violently,and the stable development of China's economy and finance is facing enormous challenges.In the context of the new era,it is of profound theoretical and practical significance to study the effect of online public opinion on the volatility of financial asset prices and discuss how to deal with excessive volatility of financial asset prices and effectively manage financial risks.Based on the systematic review of relevant theories and empirical research,this thesis constructs a new research framework from the interdisciplinary perspectives of behavioral finance,cognitive psychology and communication.Focusing on the two core issues of "what is the effect of online public opinion on financial asset price volatility" and " how to manage the volatility of financial asset prices under online public opinion",this thesis establishes an analytical paradigm to examine the relationship between online public opinion and financial asset price volatility.This thesis comprehensively uses statistical tools and methods such as the Fama-French three-factor model,panel regression model,DCC-GARCH model,ARDL-ECM model,the improved HAR class model,etc.to quantitatively analyze the impact of online public opinion on the financial assets price volatility.In addition,this thesis further discusses the time-varying characteristics and influencing factors of the financial asset price volatility effect of online public opinion from a dynamic perspective,and investigates whether online public opinion information can help improve the prediction accuracy of financial asset price volatility.Therefore,this thesis provides optimization strategies for China's financial risk management in the contemporary information environment.The main body of the thesis is divided into seven chapters.And the specific framework and content are as follows:The first chapter introduces the research background and significance of the paper in a comprehensive manner,systematically reviews the domestic and foreign relevant research,and establishes the research ideas and research methods of the thesis.Finally,it briefly analyzes the innovation and main contributions.The second chapter takes the core concept and its connotation as a starting point,and comprehensively discusses the theoretical mechanism of the financial asset price volatility effect of online public opinion.First of all,online public opinion has the characteristics of hidden themes,open content,and networked communication,which subverts the "limited effect theory" of traditional media communication.Internet public opinion has promoted the transformation and development of classic communication theories such as silent spiral theory,agenda setting theory,the gatekeeper theory,and further strengthened the powerful effect of mass communication.Secondly,based on theories such as limited attention theory,noise trading and arbitrage restriction theory,and divergent opinion models,investors' limited rational factors can have a significant impact on financial asset price volatility.Thirdly,online public opinion has a powerful dissemination effect.By attracting investors' attention,inciting investor sentiment and changing investor perceptions,it then influences the investment decisions of financial market participants,and ultimately produces the effect of financial asset price fluctuations.Based on the online search index and text big data,Chapter three comprehensively measures the online public opinion indexes of Chinese listed companies.First,this thesis comprehensively collects public opinion data from multiple channels such as Baidu search engine,online news media,and online social media,to provide powerful data support for relevant empirical research.Secondly,following the design principles of the index system,this thesis constructs the online news media and online social media public opinion indexes from three dimensions:online public opinion popularity index,online public opinion sentiment index and online public opinion divergence index.Finally,through descriptive statistical analysis and case analysis of sample companies,this thesis studies the differences and complexity of the online public opinion indexes.The fourth chapter uses the Fama-French three-factor model and panel regression model to empirically test the effect of online public opinion on financial asset price volatility.The study found that online public opinion has a significant impact on the volatility of financial asset prices.The online public opinion popular index,sentiment index and divergence index not only have a significant impact on the volatility of financial asset price,but also can interact with financial asset price volatility through information effects and emotion effects.Compared with the public opinion of traditional media,there are differences in the financial asset price volatility effect of online public opinion.When the market is turbulent,the effect of online public opinion on financial asset price volatility is more pronounced.Chapter five uses the DCC-GARCH model and ARDL-ECM model to examine the time-varying characteristics and influencing factors of the effect of online public opinion on financial asset price volatility.The study found that there is not only a static correlation between online public opinion and financial asset price volatility,but also there is a time-varying coordination between them.In contrast,the time-varying correlation between financial asset price fluctuations and online social media public opinion is higher,but it is more sensitive to online news media public opinion.The effect of online public opinion on financial asset price volatility varies with market conditions,and it is more pronounced in a bear market environment.The effect of online public opinion on financial asset price volatility is closely related to macroeconomic operations.Specifically,there is a long-term co-integration relationship between macroeconomic variables and the dynamic condition correlation coefficients of online public opinion and financial asset price volatility.Improving the operating conditions of the real economy and financial markets and implementing effective monetary policies can alleviate the financial asset price volatility effect of online public opinion in the short term.Chapter six measures the realized volatility of financial asset prices through high-frequency data,and introduces online public opinion information factors into six types of HAR models to study whether online public opinion can help improve the prediction accuracy of financial asset price volatility.The study found that: online public opinion information can not only improve the in-sample fitting ability of existing financial asset price volatility prediction models,but also significantly and steadily improve the out-of-sample prediction ability of financial asset price volatility models.Chapter seven puts forward policy recommendations for regulating the fluctuation of financial asset prices under the influence of online public opinion.This chapter studies the relationship between financial asset price volatility and financial risk,which shows that the fluctuation of financial assets price is an endogenous financial risk,and can cause financial instability through financial innovation,bank credit,balance sheet and other channels,thus causing serious impact on the real economy.Based on the theoretical research and empirical analysis results of the full text,this thesis proposes that the financial asset price management should be strengthened by establishing the online public opinion monitoring system,improving the online public opinion guidance mechanism,cultivating mature and rational investment concept,strengthening the macro-control of financial market and other relevant policies,so as to prevent financial risks and ensure the stable operation of financial system and the macro economy.