News Reports,Investor Sentiment And Stock Price Volatility

As an important force in the capital market,news media has an important impact on in investor sentiment and stock price volatility,while investor sentiment and stock price volatility will be quickly feedback to the news reports,the three there has a close linkage relationship.Based on the insurance industry daily data from July 2,2012 to June 7,2017,this paper study the dynamic relationship of news reports,investor sentiment and stock price volatility using the GARCH family,the nonparametric GARCH and the stochastic fluctuation(SV)model,as well as the VAR model and the TVP-SV-VAR model.It is pointed out that:(1)the time series of the insurance stock index's daily rate of return has strong fluctuation agglomeration and persistence,and there are some characteristics of skew and spike fat tail,which are different from normal distribution;the three markets do not exist leverage effect;In terms of estimation accuracy,SV model and EGARCH model are superior to other parameters GARCH models and nonparametric model in predicting the volatility.(2)the increase of news reports will lead to the rise of investor sentiment in the second period,but the impact of investor sentiment on news reports is not obvious.Increased investor sentiment will lead to stock price volatility in the second period began to rise,but the impact of stock price volatility on investor sentiment is not significant.The number of news reports increased,the stock price volatility from the second period began to rise substantially,stock price volatility will increase the number of news reports slightly.In view of the research conclusions,we make recommendations:to improve the amount of media reports,information,guide small and medium investors to capture the relevant news in time and relax the stock market supervision moderately.