Media Coverage On Vaccine Event?Investor Attention And Stock Price Volitility Shocks

Vaccine Fake Event in 2018 endangered the health of citizens,exposing the safety problems of the pharmaceutical industry and poor supervision.At present,Intemet media accelerates information dissemination and effectively reduces market information asymmetry.The surge in news on vaccines attracted investors' attention.The pharmaceutical sector has been severely damaged This paper focuses on the relationship between media coverage,investors' focus and stock price volatility effect.This paper aims at arousing regulators' attention to media information release.Meanwhile,prevent illegal institutions from using media to manipulate stock market prices,and remind listed companies to make good use of media platform to disclose information to remove false and retain true.This paper wish investors to objectively estimate stock value and reduce losses caused by negative public opinion.This paper defines the concepts of media coverage and investor focus.This paper uses the asset pricing theory,information asymmetry theory,the risk compensation hypothesis,the excessive attention to vulnerability hypothesis,and the agenda setting theory.When media reports release information,investors pay attention to information and process information to make trading decisions.Thus,stock price fluctuates.Using event study method to analyze the market reaction and calculate the abnormal returns of Bio-Changsheng company and biotechnology industry.Based on the empirical analysis of media news volume and investor search index from July 5 to August 31 in 2018,a VAR model is constructed.The impact of media coverage and investor focus on stock price volatility under specific events is considered dynamically for the first time by means of impulse response function and variance decomposition.The results show that:Firstly,on the day of the event,the abnormal rate of return is significantly negative.The negative impact is difficult to eliminate for a long time.The information transmission effect is obvious.It shows that good corporate reputation plays a vital role in the stability of the company's stock price.Secondly,the stock prices of eight vaccine stocks deviate from the basic value.They have different sensitivity to vaccine events.Half of the listed companies show inadequate response.The "Black Swan" incident causes financial risk contagion and has industry spillover effect.The abnormal returns of vaccine production enterprises are significantly lower than those of non-vaccine production enterprises.Thirdly,vector auto-regressive coefficients show that the fluctuation of excess return in the pharmaceutical sector has a negative effect on the frequency fluctuation of media reports.And it shows a positive effect on the change rate of investors' attention.Impulse response analysis shows that the frequency fluctuation of media reports has a negative impact on abnormal returns of perennial organisms.Investors' attention has a positive impact on stock price fluctuations.But there is a lag in decision-making.With the decline of news reports and the decrease of investors' enthusiasm for attention,impulse response analysis shows that the fluctuation of media reports has a negative impact on abnormal returns.Fourthly,the influence of media coverage on public opinion is significantly greater than that of investors' attention,and the market reaction is fast and sensitive,which the dynamic impact of stock price fluctuation is stronger.Thus we should scientifically guide the media and social platforms to guide social public opinion and sense of responsibility,creating a good reporting environment.Meanwhile encourage the media to publish real and objective events in time,effectively guiding investors' value judgment.It can avoid vicious fluctuations in the stock market.