Research On The Relationship Between Internet Financial News And Stock Returns

Research on the relationship between media and stock returns has been a hot topic of concern for a long time.The information era makes the Internet become main carrier of news dissemination.Because of the timeliness of information release and the convenience of access,once the Internet platform releases news related to the listed company,it may quickly cause huge fluctuations in the stock price of the company.It is very important for investors to judge the value of information through the Internet news,so the important role of Internet media in the securities market can not be ignored.In addition,the Hong Kong stock market is a relatively mature capital market compared to the domestic A-share market.In recent years,co listed companies have increased in both places,we can find the different irrational levels of the capital markets by doing research on studing the different recation of the two market to the news,and it is significant to help regulatory authorities formulate policies and guide the standardization for market behavior.The relationship between the Internet financial news and the stock ret urns of the AH co listed companies is the main research content of this article.The 55 listed companies listed in the Shanghai Stock Exchange and the Hong Kong stock exchange listed in the Hang Seng AH index stocks are the research object.Because of the stock market developed smoothly from February 2016 to December 2017 and was closest to the writing time of this article,so we selected it as the research interval of this article.Data Yes and Wind database are the main sources of research data.It is found that AH co listed stock returns are significantly affected by Internet news sentiment,and change in stock returns are highly correlated under the news response.Through further research on the role of news emotional tendency,it is found that the AH shares of listed companies have been statistically significant positive fluctuations in the first few days before the good news release,and this positive fluctuation can continue to the day of the news bulletin,after the news release,both AH shares all shows different degrees of reversal for the news sentiment.Because the research area of this paper after the operation of Shanghai-Hong Kong Stock Connect,and it is found that there is a consistent response to the news reaction of AH stock market returns,we speculate that this phenomenon may related to the strengthening of the linkage between the two capital markets after the operation of the Shanghai-Hong Kong Stock Connect,so we choose a new dataset between January 2013 to October 2014 to text whether they are still in collaboration,finally we found that this phenomenon was already existed before the running of Shanghai-Hong Kong Stock Connect.The results of this study shows that news events published by the Internet platform are not entirely shows an event shock to the stock returns of listed companies,We think the most likely situation is that market already has the positive expectations for the company before the good news release,and it can led a forward positive movement of the stock returns.The study also found good news can make a greater effect than bad news,then we build a zero-cost investment portfolio based on empirical research results,Try to provide more evidence to examine whether investors can get profits through the investment strategies based on news sentiment,we found that the return results of the portfolio are consistent with multiple regression results,that means,before the news release,use the market expectations can let investors get profit.