A Contrastive Study Of Investor Attention Effect And Media Effect In Chinese Stock Market

Today,the technology of Internet and Big-Data is changing the life of us,and is changing the way we get information and make investment decision in stock market.And today,the traditional financial theory system is no longer able to explain all kinds of anomalies in stock market.However,along with the development of technology,more and more scholars started the study of Investor Attention Effect and Media Effect in stock market.In order to empirical study the investor attention effect and media effect in Chinese stock market,this paper selected all Chinese main-board stocks and GEM stocks as study sample,combined the data fetched from Gu-Ba forum and generated two indexes:investor attention index and investor disagree index.We confirmed that investor attention effect does exist in Chinese Stock Market.The other,in order to explore the nature of the event behind the investor attention,we compared the effectiveness of Good-News Events and Investor's Special Attention Events which extracted from East Money Choice Database and Gu-Ba forum.After the comparison,we found that compare to Investor's Special Attention Events the Good-News Events brings more significant abnormal return.The most two innovative points in this paper are:firstly,we leveraged the Crawler technology and full-text retrieval technology while doing the data analysis,which created the possibility of using all Chinese main-board stocks and GEM stocks as the study sample and verified the Investor Attention Effect and Media Effect at the largest study sample.Secondly,we innovatively extracted the Investor's Special Attention Events,using Event Study method,compared it with Media Effect,and provided strategic suggestions to individual investors and regulators.