Research On The Effect Of Media Information On Stock Market

Since the beginning of the 21 st century,Shiller,in his famous article irrational exuberance,has pointed out that investors are always influenced by news media that are interested in attracting viewers or readers,this behavior makes market sentiment and investor decision-making seriously disturbed by medias.The effect of media,include news,announcement and social media,on financial trading and asset pricing has been extensively proved in the following research.Under the information view,media has been associated with a quicker incorporation of information into stock prices,while more commonly used is another alternative view of behavior finance and irrational man,which sheds light on the relationship between media information and stock market through theories include “noise trader risk” theory,conservatism principle,heuristic,overconfidence,self-attribution bias.In recent years,limited attention proved evidence to interpret the investors' decision bias and market anomalies which aroused by media information.Limited attention argues that individuals' attention is a limit resource and then salience theory finds that information with the feature of accessibility,deviate from reference point and special representation form will optimally attracting more attention and exerts a disproportional effect on judgement.So in this research we build index system to catch the salience of media information from different dimensions which consist of the sentiment salience,the presentation salience and the social salience,and we use the domestic primary financial media as novel data set,setting bridge between the concept of “media information”,“salience” and “asset(stock)”,based on the time series analysis,panel data regression and deep learning model,our result indicates the effects of the salience of media information on stock market,asset price and investor behavior.Our evidence suggests that,first,the sentiment salience,presentation salience and social salience of media information appear a “media effect” to the growth of stock price,namely,in the short term,the sentiment salience,presentation salience and social salience of media information will impulse to the increasing of growth of stock price,while in the long term,this positive effect will be reversal,with the increase of the salience of information,the growth of stock price will fall.Meanwhile,the sentiment salience,presentation salience and social salience of media information has a positive effect on the turnover rate of stock.In addition,in the sight of the analysis of interaction effect of the salience of media information,we find that,on the one hand,the presentation salience and the social salienceboth have a positive influence on the relationship between the sentiment salience and the growth of stock price,this means,when the presentation salience and the social salience going up,the positive relation of the sentiment salience and the growth of stock price,in the short term,will be persist,and the reversal effect in the long term will be restrained and set back.On the other hand,the presentation salience and the social salience both will interfere the relationship between the sentiment salience and the turnover rate of stock.That means,with the increase of the presentation salience and the social salience,the information of related stock will be more open and transparent,then the increase of the sentiment salience will push the market opinion to be integrated and unified,the most trader in the stock market will gather to the same side of buyer or seller,so that the turnover rate of stock will drop.Finally,by introducing the salience of media information into the impulse prediction model of stock price,our research proves the predictive effect of the salience of media information on the impulse of stock prices,which illustrates the existence of the impact of the salience of media information on stock price trend.In the view of information science,our research properly combined finance and information,applied textual sentiment analysis and scientific metrics in the field of information science to econometrics,integrated “limited attention” and “salience” theory in the field of behavior finance with the analysis of financial media information and stock market,through the timely and accurate acquisition of media information,multi-dimensional modeling and measuring of information salience,our research explored the relationship between media information and stock market,served as a basic empirical evidence of the effect of the salience of media information on the investor attention allocation and stock market.