Agenda Setting And Bounded Attention:A Study On The Relationship Between Financial News And Stock Market Volatility

In the investment of stock market,financial news always aroused the attention of investors,and important financial news reports are often intervened in the market trend.This study focuses on the correlation between financial news and stock market volatility,using the event study,content analysis,regression analysis and other research methods to test whether financial news affect the stock market volatility and explore what role the number and the content bias of financial news and investor attention play in the affect.Research indicates:Financial news affected stock market volatility significantly.Abnormal rate of return of stocks was affected significantly on the day of the financial news reports and the last four days.Abnormal transaction volume of the stock was affected significantly within five days before and after the financial news.Trading volume of stocks fluctuated significantly in the day before the financial news,indicating there is a certain market information leak problem.Investor attention affects the stock market volatility further.Under the same conditions,the attention index rises by 1 unit,the abnormal rate of return increases by 0.0153992 units;the attention index increases 1 unit,the abnormal transaction volume increases by 0.2435567 units.The investor attention plays an mediating role in the impact of the number of financial news reports and the trend of reporting on the stock market volatility.The greater the number of financial news reports,the more positive the tendency of financial news reports,the higher the investor's attention and the more obvious its impact on the stock market.