Research On Internet Media And Stock Returns

Information is the key determinant of people's daily behavior decision making.The news media is the main channel for the public to obtain information.In the capital market,information becomes more important.Media financial news reports not only to investors to transfer macroeconomic information and stocks information,but also to influence investors' attention and emotions,and then intervene in individual actors decision.In this paper,the stock of all A-share listed companies as the object of study,trying to study the existence of China's stock market media effects,news reports on how to affect the stock yield and volatility and other issues.This article utilizes the financial news on Internet news sites based on the Linked Data Platform between 2013 and 2016,and processes this unstructured into structured data that applies to empirical research.First of all,in order to study the relationship between media coverage,media impact and stock yield,this paper calculates the yield of the packet according to the double standard of media coverage,impact degree and company characteristic.The preliminary results are obtained using CAPM model,FF model and so on Further inspection.Secondly,this paper analyzes the relationsjhip between media coverage and stock market volatility through dynamic panel analysis model.The main conclusions of this paper include:low Internet media attention to the stock yield significantly higher than the high group,when the control of the characteristics of the company,the.results remain robust;media reports brought investors over the chase of these stocks,resulting in The stock is higher than the reasonable pricing level,but after the stock price has a reversal phenomenon;the number of news reports on the volatility has a significant impact;impact can not increase the current rate of return volatility,but the current impact of the increase will give the next issue of volatility Rate has a negative impact.