The Impact Of Media Sentiment On The Market Performance Of Stock

In financial markets, the price of the asset is determined by market supply and demand, the behavior of investors determine the market supply and demand. According to the efficient market hypothesis theory, investors are fully rational, and therefore asset prices will fully reflect all the information present on the market. But in the actual investment process, investors due to different individual differences and other factors, are not always in line with the "rational economic man" hypothesis, and the investment decisions they make are not always rational. Therefore, the gradual emergence of the classical financial theory can not explain the financial visions, such as "closed-end funds Mystery," "equity premium puzzle", "scale", "calendar effect".To explain these visions, some researchers the classical asset pricing model to improve the psychological theory and finance combined with the introduction of investor sentiment research, and gradually form a behavioral finance theory. In 1973, Kahneman proposed limited attention theory, which explains many financial market vision. Therefore, behavioral finance research, the agent which investors attention for variables affect investor behavior, the researchers carried out extensive research, as investors concerned about the direct impact on their investment behavior, thereby affecting asset prices. Especially in China, compared to foreign investors, domestic investors invested more variations exhibited lack of knowledge, and struggling hard macro fundamentals and stock market situation to judge, with the main market disclosure of information is not complete, the effectiveness of migraine low, investors are based more on investment information to carry out the degree of concern driven stocks. In this case, investor attention research variables has important practical significance"China Securities News", "Shanghai Securities News", "Securities Daily" and "Securities Times" as China's four major securities newspaper most authoritative, most professional and most comprehensive media press, the financial securities market is the main way the disclosure of information which headlines the day is the most important capital market information, company stock information contained in the news, investors are also highly concerned about the information Therefore, this article will be four major securities newspaper headlines as a proxy for investor attention, built by the "tone of media coverage" and "influence the level of the press" of two parts "media sentiment index", to quantify the degree of attention from investors, through empirical research to test media sentiment and stock returns, the extent of the impact of stock trading volume, stock turnover relations and media sentiment on the stock pricing error.Through a series of empirical analysis, we obtained the following conclusions:1.there is a mood among the media and stock yields a significant positive correlation, positive media sentiment has a positive effect on the yield headlines stock, whereas negative media sentiment has a negative impact on stock returns headlines. But consider headlines stock yield factors, the emotional impact of the media and the impact is small compared to the market rate of return In addition, with the extension of the trading day, the mood of the media headlines stock yields influence will gradually weaken. That is the emotional impact of the media, and in a short time to get attention from investors, but over time, cognitive biases investors will gradually improve and repair the emotional impact of media bias will be gradually reduced.2.when the mood of the media research and stock trading volume, stock turnover, media sentiment found higher the value, the lower the stock trading volume and turnover, the paper's explanation is that when the media sentiment index showed a high value, indicating the strong influence of the press media of listed companies has been positive news, and compared to negative emotions, positive emotions are more likely to cause cognitive biases investors. In this case, the attitude of investors in shares of listed companies tend to have the performance of a buy or hold, as limited by China's A share market,10% of the price limits, investors in the stock price no objection lower would have been a direct result of the daily limit and buy stop trading, shares of listed companies such volume.3.asset mispricing degree course, the media sentiment index rises will directly affect stock prices, the results lead to rising stock is overvalued, positive deviation from its fundamental value, resulting in erroneous positive asset pricing level increased. Conversely, the media reverse sentiment index rose, will directly lead to stock price falls, gradually when the stock is undervalued, negative deviation from the basic value, resulting in a negative asset mispricing level rise.The innovation of this paper is, first, innovative research, and in the past, with headlines of company news to investors concerned about the number of proxy variables summarized literature and found no news of the four major securities newspaper headlines as investors Views proxy variables to study, this paper belongs in this regard innovation, in addition, in the past, the traditional research based on the added research and discussion stock mispricing degree; followed by the study variables design innovation, the paper past Document media proxy variable direction summarize, designed to build a media sentiment index, this variable factor into the model, to explore the media emotional factors impact on stock returns, stock trading volume and stock turnover.