The Effects That Media Reports Have On Stock Volatility Of Listed Companies In Different Market State

There are many factors that affect stock price volatility, among this factors, media reports become the important link contact with enterprise, market and investors, the research about its impact on share price volatility becomes a hot spot. The traditional efficient market hypothesis think that media reports will not affect stock price, but a growing number of studies have found that the media reports become an important factor in affecting investor behavior and stock price fluctuations. C hinese investors are lack of professional knowledge, so they are more vulnerable to the influence of market state. Investors in different condition may have different investment behavior, sometimes even short-sighed which results in stock market fever and strengthens over speculation.This paper takes 342 listed companies from Shanghai and Shenzhen stock markets as sample, firstly, the media reports will be divided into positive and negative media reports according to the media reports nature, then examines the effects that positive media reports based on truth and negative media reports have on stock price volatility by event study. Further, the study phase is divided into bull market and bear market, then studying respectively how media reports affect stock price volatility at bull market and bear market from the viewpoint of investor sentiment by the empirical analysis. Results show(1)media reports indeed affect stock price, positive media report makes positive stock price variability, generating positive abnormal return; negative media report makes negative price variability, generating negative abnormal return;(2)the effects of positive media reports are stronger than negative media reports at the bull market;(3) the effects of negative media reports are stronger than positive media reports at the bear market;(4) the impact on share prices at bull market are stronger than that at bear market in the full sample when media reports appearing. This research means to let investors in the decision- making process efficiently recognize the ir behaviors, and abandon the cogitation of bull market and bear market as far as possible, so that investors can make rational judgment when media reports appearing, thereby make the greatest degree of effective decisions and reduce losses.