Media Following,Analyst Following And Stock Price Efficiency

The basic function of capital market is to use the signal transmission mechanism of the stock price to optimize resources configuration,and then guide the investors to make reasonable judgment to realize the maximum return.Since China created Shanghai and Shenzhen stock exchange in the early 90s,functions of the securities market is gradually improve and complete after 20 years' development.It becomes an important way of investment and financing,and plays an irreplaceable role in the national economy operation.But overall,the efficiency of China's capital market still exists a large gap compared with the mature capital market.The phenomenon "with the rise and fall","plate linkage" is relatively serious.This shows the stock price's synchronicity is higher,contains a larger,so "noise" in stock price,containing less idiosyncratic information company level,will seriously affect investors' judgment,thus greatly damage the capital market pricing efficiency.In the mature capital market's development,securities analysts with high professional quality and reputation play a positive role in promoting capital market efficiency.They use advantage in information gathering and mining,to make analysis of stock price containing more information about the characteristics of the corporate level.It improves the information content of stock price and promotes the optimal allocation of resources.Although analysts appear early in China,the quality and reputation of the group is not favorable.Especially in recent years,some negative reports greatly smear the image of analysts and public confidence to the market.With the rapid development of Internet,the role of media in the capital markets can't be ignored.Information transmission speed becomes faster,information channel increase,audiences become wider,these make media play more important role as an information intermediary.In this paper,we focus on media and analysts,two most important capital market information dissemination intermediary,to explore the effect on information collection,mining,and transfer in the capital market,and the influence on stock price synchronicity.This article selects shares Shanghai and Shenzhen a-share main board listed companies in 2010-2015 as research samples.Synchronicity in stock price would be the main indicator to measure efficiency of the capital market pricing.Company's stock entry on Baidu news platform is taken as indicators of media attention.And total numbers of securities companies rating or ratings changes of the company in that year is taken as indicators of analysts' attention.On this basis,this article explores the influence of the media attention and analysts' attention on the capital market pricing efficiency.It introduces several control variables for further research.The aim is to research that,under the influence of different control variables,synchronous impact of analyst and media attention on stock price,as well as the path of that synchronous impact between the two.The empirical results find that the media attention and analyst attention have influence on each other.Media attention has positive effect on the stock price synchronicity.Media attention can reduce stock price synchronicity,and improve the efficiency of the capital market pricing.But analyst attention doesn't directly reduce the stock price synchronicity.It will increase the stock price synchronicity.Analyst attention causes stock price synchronicity reduced through the way that analysts improve their attention to a company while increasing media attention,to reduce the stock price synchronicity.