A Study On The Correlation Between The Media's Attention To Extreme Events And The Volatility Of Returns Of Related Industries

As an important information medium,media plays an important role in modern people's life.With the rapid development of modern science and technology,the form and efficiency of media are changing dramatically.From the ancient knot record,pigeon transmission,to the modern telegraph,letter,newspaper,to the modern Internet media,public self media,the organization mode and communication mode of the media continue to innovate and develop,the efficiency of information transmission continues to improve,and the population coverage continues to expand.In the aspect of information dissemination,the Internet has changed the traditional pattern of information dissemination permanently in all aspects.With the emergence and maturity of the Internet,in addition to the traditional paper-based media,a large number of new media have emerged,and the speed,breadth and timeliness of information dissemination are becoming faster and faster.The traditional paper-based media,which used to need to collect,print,transport and sell,are far behind the Internet media in these aspects.In terms of investment,the timeliness of information often plays a decisive role.All kinds of investors have high requirements for the quality and timeliness of information acquisition.Although the Internet media information channel is slightly inferior in quality,it has a completely incomparable advantage in timeliness compared with traditional paper media.Therefore,the influence of print media is gradually weakening,and individual investors are turning their attention from newspaper and TV reports to Internet information.The influence of media on capital market can not be ignored.As a branch of media in the financial market,financial news has great guiding significance for the behavior of investors.Recently,in the academic research on the effect of financial media on investors' behavior,three theories are put forward,which are information intermediary theory,investors' limited attention theory and media emotion theory.All of them think that financial media can effectively influence investors' behavior mode through some mechanisms.A large number of literatures have studied the relationship between media attention and the yield of individual stocks or industry sectors concerned.Most of the existing literature focuses on the simple correlation between media attention and stock market in a long-term environment.Different from the previous literature,this paper focuses on the impact of media attention and abnormal returns of related industry sectors in the event of extreme events.Extreme events refer to the public events that are sudden,abnormal and have a huge actual or reputation impact on the company or industry.In the case of extreme events,there is little research on media attention and abnormal return rate of stock,and the most powerful moment for media attention to guide investors to pay attention is just after all kinds of extreme events.On the other hand,most researchers only select a single media attention index,while this paper also examines the impact of Internet media attention and paper media attention and makes a comparative study.Based on the event research method,this paper uses Baidu media index to measure the attention intensity of Internet media,and uses the number of financial paper media reports to measure the traditional paper media.It chooses Shuanghui to develop clenbuterol event,Yongwen railway car collision event,Chaijing environmental protection event,Changchun long-term vaccine event,Vision China copyright event,and returns under the framework of event research method Finally,the paper analyzes the impact of media attention intensity and abnormal return rate of related industries in the event window period.And empirical regression of media attention intensity and different lag of the impact of abnormal return of related industries.The empirical regression results of this paper show that although most of the events in the sample only involve one or several companies,they have an impact on the yield of the whole industry,and the impact on the industry is the same as the impact on the companies involved.And in media attention,there is a significant linear relationship between Internet media attention and abnormal rate of return of industry sector,while paper media attention does not always show a significant linear relationship with abnormal rate of return of industry sector.Internet media,as the main channel of information dissemination in the new era,plays the main role in the dissemination of information when extreme events happen.The media's attention can strongly promote the rapid dissemination of event information,and quickly release the accumulated risks.However,the impact of traditional paper media on market behavior is not significant because of the narrow audience,many audit procedures and long overall release cycle.At the same time,in the event of extreme events,although Internet media and traditional financial paper media have played the role of disseminating information,reducing information asymmetry and releasing market risks,compared with Internet media,Internet media has a broader audience,faster communication speed,more flexible reporting methods,and even a more relaxed review environment,so it is unusual for related industries In terms of the impact of yield,the impact of Internet media attention is stronger than that of paper media.Finally,with the development of social informatization,a large number of unconventional media units,such as group chat and self-Media,appear,and the information dissemination is more diversified and rapid.Therefore,the information dissemination through these channels is faster than that of conventional media,and the market effectiveness is constantly improving.The media attention can no longer predict the future abnormal earnings.And through the summary of the sample events,it can be found that the higher the total attention of the events,the higher the degree of social informatization in the year of occurrence,the faster the market response.At the end of this paper,combined with the empirical conclusion,we put forward the policy suggestions from the perspectives of investors,listed companies,supervision and so on.