The Impact Of Internet Financial News On China Stock Market

Since the establishment of the China’s stock market in the nineties of last century, there is a growing need of accurate and timely news, along with China’s economic development and the continuous transition. Any news reports are likely to make the big changes to the stock market, such as the resignation of corporate executives and equity struggle, railway motor collision, etc.. With the advent of Web techniques, the Internet-based news media becomes a major vehicle to discover and disseminate the information. The timely and broad dissemination mechanism essentially makes it a potentially important source of information about firms or the economy. The Pew Research Center published that "Until the end of2010, the new media audience are excess the traditional media audience firstly."How to capture high-quality valuable information across the Internet conveniently and efficiency for investors and listed companies, have become particularly important.This paper studies the interaction of Internet-based financial information and China stock market, which focusing on the differences of Shanghai and Shenzhen market. I utilize the event study method and cross-sectional regression model to analyze the movement of stock price and industry index. The study find out that:(1)The Shanghai and Shenzhen stock market will generate an appropriate response to news reports. The influence to Shenzhen stock market, regardless of the intensity or duration, is significantly stronger than that to Shanghai market.(2)The smaller the enterprise is, the affect to its stock movement is more obvious.(3)Compare with the other types of news to the changes of stock price, the news report about foreign trade and international environment seems to have big influence on stock movement, which also react fast and have short duration.(4)Meanwhile, there is a different sensitive to the news report of the stocks in different market status.In the bear status, investors show a more obvious concern. In this paper, I propose a sophisticated measure, i.e. support vector regression (SVR), to quantify the Internet-based News, and explore its impact on the daily returns of the relevant stocks. I utilize the name entity recognition and text classification technology to process the unstructured text to assist analyzing.This paper uses information retrieval technology in computer science and natural language processing technology to dig out the useful market information from vast amounts of Internet news. The use of the media information to bridge the information asymmetry and stock projections provide a practical path. As a combination of IT and finance cross-disciplinary, financial intelligence in the practical application is more extensive. This paper is the application example of the use of financial intelligence to solve practical problems.