The Impact Of Media Attention And Investor Attention On The Stock Market

In the field of modern financial investment, with the rapid growth of information, the contradiction between the individual limited attention and information becomes more and more serious, investors have to make a reasonable allocation of limited attention resources. On the other hand, under the rapid development of various types of new media, the media, as the carrier of information, its influence has become increasingly significant. China’s securities market is a highly asymmetric information market, media information will expand the audience and attract investors to pay attention to. In recent years, more and more research is focused on the media attention, investor attention and the stock market performance, especially the popularity of information collection methods based on search engine, makes the attention rate of the search index as the proxy variable directly measured.Firstly, this article systematically reviews the existing research literature, on the basis of behavioral finance, expounds the limited attention theory, information risk compensation theory and Communication agenda setting theory etc., and discusses the mechanism of the impact of media attention, investor attention on the stock market. In the empirical part, using the search index and media index provided by Baidu as the proxy variable to measure media attention, investor attention respectively, and use the top 30 listing Corporation in the CSI 300 constituent stocks companies as the research sample. Based on the relevant theory, three hypotheses are proposed, which are respectively studied the effect of investor attention and media attention on the stock market, and the difference between the two effects on the stock market. The conclusions obtained in this article are as follows:The first part of the empirical results show that the current investor attention is significantly positively correlated with the stock returns, but the lag phase of investor attention has caused a negative impact on the stock returns. This shows that the current investor attention surge will lead to higher investor buying behavior, resulting in attention premium, but in the short term, stock price will return to its fundamental value. At the same time, through the Grainger causal analysis of investor attention and the index return rate, it is found that the index return rate has a significant guiding role for investors, while investor attention has only 57.3% probability to lead index returns, which shows that the market is affected by many factors, Investors’attention to the market is not enough to cause significant changes in the market.In the second part, using the event study method, defines the amount of abnormal media attention as an event trigger point, investigates whether media attention will bring excess returns in the window period. The study found: in the event of the day, the media attention to the stock price has brought a positive average abnormal returns (2.39%), on the first day after the event, the average abnormal returns fell to negative (-0.72%).This result confirms that China’s A share market also has the "media effect", that is the high media attention stock will get a lower average abnormal return rate in the subsequent period.Finally, using the regression model to study the role of media attention, investor attention on the stock market. The results show that in the direct impact of the two on the stock returns, the role of investor attention is stronger than the media attention. When introducing the interactive factors, the regression model has stronger explanatory power. There is a mutual promotion relationship between the media attention and investor attention, the former has enlarged the investor attention effect.