The Impact Of Media Attention On Stock Price Synchronicity

Stock price synchronicity refers to the correlation between the change of the stock price of a single company and the average change of the market,that is,the phenomenon of "same rising and falling down" in the market.In China's securities market,the phenomenon of "rising and falling" is very serious.Too high stock price synchronization will affect the effectiveness of corporate governance,damage the efficiency of capital allocation,and then affect economic growth.Therefore,it is of great practical significance to study the factors that affect the synchronization of stock prices and try to reduce the share price synchronicity of the capital market.Through a large number of literature and theoretical analysis,it is concluded that the media attention mainly affects the stock price synchronicity through two mechanisms,one is the information level,the other is the market overreaction.This paper mainly studies the influence of media attention on stock price synchronicity from the perspective of overreaction,which provides a new explanation for the mechanism of media reporting affecting stock price synchronicity,and provides a new perspective for the formation mechanism of stock price synchronicityIn this paper,the LSDV panel regression of the stock price synchronicity is made by using sample of A listed companies during 2005.1.1-2014.12.31.Under the control of industry and year effect,it is concluded that the media attention is negatively correlated with stock price synchronicity at the 5%level.Further,we divide media concerns into positive media attention,negative media attention and neutral media attention,and investigate the influence of media attention on stock price synchronicity through these three different properties.The empirical results show that compared with neutral media,positive and negative media attention has more significant impact on stock price synchronization.Next,this paper uses the reversal effect to measure the reversal effect,based on double ordered grouping method as calculated in the formation period of 12 months,the holding period followed by the reversal effect of 6 months,12 months,24 months,was used to study the relationship of media attention and overreaction and overreaction and stock price synchronicity.From the results,first of all,in our country,the formation period of 12 months,the holding period followed by the reversal effect of 6 months,12 months,24 months of strong and significant reversal;secondly,the attention of the media and the overreaction has a positive correlation in the holding period is 6 months,at 12 months;finally,the overreaction and stock price synchronicity in different holding period show a stong negative correlation.In the 6 months and 12 months of the holding period,media attention can reduce stock price synchronism through overreaction in the market.Thus,this paper confirms the hypothesis that media attention reduces stock price synchronicity through overreaction.However,the conclusion of this paper is that only the media attention can reduce the stock price synchronicity through overreaction,and there is no denying the influence mechanism of the company's information level,which is also the inadequacy of this paper.