Research On The Influence Of Media Attention On The Emotional Sensitivity Of Stock Price Of A-share Listed Companies In China

As the information intermediary of financial market,news media can strengthen the market information mechanism and reduce the information asymmetry.At the same time,its guide public opinion and centralized media by "facts effect" of the existence of also affect investor sentiment change investor behavior,cause emotional investors more speculation,affect the difficulty degree of stock speculation and arbitrage,causing the different stocks to emotional sensitivity is different,also the news media play a different role.In recent years,the frequent market "anomalies" can no longer be explained by traditional finance,and the behavioral finance which introduces factors such as cognition,emotion and belief emerges at the right moment.The development of behavioral finance breaks through the restrictive framework of rational behavior of economic subjects,and investors are the subjects of market reaction.Exploring corporate financial behavior from the perspective of investors’ irrationality has gradually become a research frontier in the academic field.Some scholars have studied the relationship between the emotional sensitivity of stock prices and the risk of stock price crash,margin and short selling system and stock returns,but few mentioned the research on the emotional sensitivity of stock prices due to media attention.Based on this,this paper takes A-share listed companies in Shanghai and Shenzhen Stock Exchange from 2011 to 2018 as research obj ects,and studies the influence of media attention on the sensitivity of stock price sentiment based on the theoretical basis of limited attention and investor sentiment.Firstly,the four-factor model proposed by Carhart(1997)is used to control systemic risk,and the emotional sensitivity of individual stocks is obtained by rolling regression month by month based on the data of stock returns in the past 24 months,and the emotional sensitivity of stock prices is defined as the sensitivity of stock returns to investors’ emotional reactions in the market.Secondly,the media index in Baidu Index is used as the proxy variable of media attention to conduct a systematic empirical research on the influence of media attention on the emotional sensitivity of stock prices.Furthermore,the moderating effects of different emotional states,property rights and market segments on the relationship between the two are considered in combination with the diversity and difference of samples.The mediating effect between investor attention and media attention and the emotional sensitivity of stock prices is also studied.Finally,from different perspectives,we use the method of omission variables,substitution of major variables,transformation of intermediary regression method,and division of different market periods to carry out a more comprehensive robust analysis of the conclusions.Through research,this paper finds that:(1)Media attention has a negative correlation with the emotional sensitivity of stock prices.The higher the media attention is,the lower the emotional sensitivity of stock prices is,that is,the less sensitive the stock returns are to investor sentiment in the market.(2)Under the influence of different emotional states,property rights and market sectors,the correlation between media attention and the emotional sensitivity of stock prices is different.Specifically,after distinguishing the emotional state,it is found that when the market mood is high,the media attention is positively related to the emotional sensitivity of the corresponding stock price.The stocks with higher media attention have higher emotional sensitivity.However,in the period of low market sentiment,media attention has a significant negative correlation with the emotional sensitivity of stock prices.Under different property rights,media attention is negatively related to the sensitivity of stock price sentiment.Moreover,in the group of non-state-owned enterprises,media attention has a stronger correlation with the sensitivity of stock price sentiment,and the negative influence of media attention on the sensitivity of stock price sentiment is more significant.Media attention has different effects on the emotional sensitivity of stock prices in different market sectors.In the main board market and the SME board market,the influence coefficient of media attention on the emotional sensitivity of stock prices is significantly negative,and the negative influence is more obvious in the main board market;At the same time,in the GEM market,the influence coefficient of media attention on the emotional sensitivity of stock prices is significantly positive.(3)Based on the mediation equation,we test the mediating effect of investor attention on media attention and the emotional sensitivity of stock price.The mediating effect test confirms the conclusion that media attention affects the emotional sensitivity of stock prices through the influence of investor attention.(4)in different emotional states,property rights,market segments,investors pay close attention to in the media attention and influence mechanism between the stock returns emotional sensitivity also exist significant differences,expression is:under the different emotional state,the property nature,investors pay close attention to in the media attention and share price showed a partial mediation effect between emotional sensitivity.In different market sectors,the mediating role of investor attention between media attention and stock price emotional sensitivity is different.In the main board market and the SME board market,investors’ attention shows partial mediating effect between media attention and stock price emotional sensitivity.In the GEM market,there is no intermediary effect.Research conclusion of this paper not only expand the research contents of behavioral finance,also for big data management and network news media network information dissemination activities bring certain inspiration,and correct understanding of the news media to investors and the relationship between the financial investment has the practical significance,helps investors better understand the roles of the news media and market positioning,As well as the function and role of the news media in the operation of the capital market,it also provides reference for the news media to serve the development of the real economy.