The Empirical Analysis Of The Influence Of Media Report On Stock Price Synchronicity

Stock price synchronicity reflects the relationship between changes in stock price and changes in market prices,and it describes the relevance of changes in stock price and changes in average price.Some reports showed that the stock price synchronicity in China was more than other countries'.Thus the study of Stock price synchronicity in China helps the development of capital market in China.The news media is an information intermediary,which is the access to corporate information for investors.A correct understanding of the role of the news media on the stock market plays a positive role in the healthy development of the stock market,and also helps to establish a reasonable news report mechanism,and guide investors to the rational investment.This paper studied non-financial listed companies in Chinese A-share market from 2006 to 2015.From the number and level of news media coverage,it explores the impact of news media coverage on stock price synchronicity in China.Specifically,according to literature,this paper chose the adjustment variables of goodness of fit as the measure of stock price synchronicity.Based on Baidu news websites,it counted the number and level of news media.It also chose variables,such as the proportion of institutional holdings and the largest shareholders holding,as the control variables.Then,it used descriptive statistical analysis and quantile regression models to make empirical research.This paper consists of six parts.The first part was about the research background,the significance,methods and contents.The second part showed the theories of news media and stock price synchronicity.It introduced the influence of media news on capital market and its measurement.It also described what stock price synchronicity was and its measurement.The third part showed the quantile regression's background and parameters' measurement.Also,it put forward the hypothesis of this paper.The fourth part established the quantile regression model to study the impact of the number of news media reports on the stock price synchronicity.The fifth part established the quantile regression model to explore the effect of the level of news media on stock price synchronicity,discussing how the level of media reports affected stock price synchronicity.The sixth part summarized the results of empirical analysis,put forward some reasonable suggestions,and summarized the shortcomings of this paper.In this paper,the following conclusions could be drawn.Overall,with the continuous development of stock market in China,the stock price synchronicity had improved,the degree of stock price synchronicity was gradually reduced.If it was compared with stock price synchronicity in the United States or other countries with better capital market,it was still serious.The empirical analysis found the number of news media helped to reduce stock price synchronicity,which showed the negative relation between the number of news media and stock price synchronicity.Further empirical analysis showed that high-level news media reports could also help to reduce stock price synchronicity.The empirical analysis above would help investors to correctly understand the role of news media reports,and help the media to improve their own development,and provides a reference for the government to make the news media regulatory system.