An Empirical Study On The Influence Of International Media Sentiment On The Stock Returns Of China's A-share Stock Market

As the world's largest developing country,China's international status continues to increase.Capital market in China has been increasingly open to the outside world.It has been more convenient for foreign capital flows to enter capital market in China with the entering of RMB into the SDR,the expansion of QFII as well as the launch of Shanghai-Hong Kong Stock Connect and Shenzhen-Hong Kong Stock Connect program.And it marks a new stage in the opening up of A-share market in China.Opening up to the outside world not only means that the China's stock market can attract more foreign investment,but also means that the stock market will be affected by more overseas factors.The development of behavioral finance provides new ideas for explaining various visions of financial markets.One of the important branches is to study the relationship between media and asset pricing.With the continuous development of modern communication mechanisms,the media plays an important role in the capital market as a communicator of information and emotions.Media sentiment can influence asset pricing.The existence of the Internet makes it possible for transnational transmission of media sentiment.Based on the above background,this paper tries to construct an international media sentiment index that integrates the media tones of several developed countries on China,studies the influence of international media sentiment on the abnormal return rate of A-share stock market in China and explores the transmission mechanism of international media sentiment.Using the monthly data from December 2013 to February 2017,this paper conducts an empirical analysis.This paper uses the CAPM model,the Fama-French three-factor model and the Fama-French five-factor model to calculate the stock abnormal return rate as a robustness test.The international media sentiment of this article is based on the reporting tone of foreign media reports on China.The data comes from the database of GDELT(Global Database of Events,Language,and Tone).The GDELT database is supported by Google Ideas and is the largest,most comprehensive,and highest resolution open database in the world.This study finds that international media sentiment has a significant impact on the stock returns of China's A-share market companies,and positive international media sentiment will help increase the stock's contemporaneous abnormal return rate.In respect of the transmission mechanism,the international media sentiment has a more significant impact on the companies in the list of SSE and SZSE securities,indicating that the opening up of the capital market has strengthened the influence of international media sentiment.As the proportion of the company's external business increases,the positive effect of international media sentiment on the abnormal return rate of A-share companies also increases,but this effect is relatively weak.Last,international media sentiment can influence China's A-share market through Chinese investor sentiment channels.With the increase of international media sentiment,investor sentiment has increased,further pushing up asset prices and increasing abnormal returns.