An Analysis Of The Influence Of Media Attention And Investor Attention On Stock Returns

In the field of financial investment,with the rapid growth of information,the contradiction between the individual's limited attention and information has become increasingly prominent,and investors must make a reasonable allocation of attention resources.On the other hand,as the carrier of information,the media has become more and more influential in the rapid development of various types of emerging media.China's securities market is a highly asymmetric information market.Media information will enlarge the audience and attract investors' attention.In recent years,more and more research has focused on investor attention,media attention,and the performance of the stock market.In particular,the popularity of information collection methods based on search engines has led to the direct measurement of the index of attention as a proxy variable.This article first systematically sorts out the existing research literature,based on behavioral finance,elaborates the theory of limited attention,theory of information risk compensation,and theory of communication agenda setting.It focuses on the impact of investor attention and media attention on the stock market.The mechanism was discussed.The search index and media index provided by Baidu are used as the proxy variables to measure the attention of investors and the media,and the abnormally high media reports of Minsheng Bank are used as the basis for selecting special events.Event analysis method is used to analyze the change in the interest rate of the media and the attention of investors during the window period,and whether the excess return rate of the bank and the cumulative excess return rate have changed significantly.On the basis of the event analysis method,with investor attention,media attention,and the cross terms of the two as explanatory variables,and regression analysis of the stock returns of Minsheng Bank,further study of media attention,investor attention on the impact of Minsheng Bank stock returns..The conclusions drawn from this paper are as follows: During the “event window period”,with the noticeable changes in media attention and investors' attention,the excess return rate of Minsheng Bank on the day of the incident also changed from a positive value on the previous day to a negative value on the previous day.,And has maintained a negative level in the next two trading days,the cumulative excess return rate has also been negative after the event date,indicating that media reports and investor concerns have caused the impact of Minsheng Bank's stock earnings.Subsequently,Minsheng Bank's lagging media attention and lagging investors' concerns and Minsheng Bank's stock returns have significant regression analysis results,further validating the analysis results.In addition,crossover variables were added.The regression results were significant,and the coefficients of the crossover variables were positive,which proved that the media attention index has a positive interaction with the investor attention index.Through the Granger causality test,it is shown that the degree of media attention has a long-term equilibrium relationship with investor attention.As a signal of the stock market,media information can influence the changes in the degree of investor's attention to specific stocks through the "agenda setting" function that the media has.At the same time,it is precisely because investors' concerns have an impact on the stock returns of Minsheng Bank,which will also lead the media to rush to report media information related to Minsheng Bank.