Media Coverages And Stock Price Crash Risk Under The Perspective Of Retail Investor Sentiment

The "14th Five-Year Plan" emphasizes that "completing the financial supervision system and improving the regulatory framework for full coverage of risks" is an important part of Chinese stock market entering a stage of high-quality development.As the most important information subject in the market,the media coverages should reduce the stock crash risk by alleviating information asymmetry.However,limited by the information processing ability and price discovery ability of retail investors,the impact of media coverages on crash risk may have a "double-edged sword" effect.Therefore,this paper systematically analyzes the media sentiment contagion of retail investors and its impact mechanism on stock price crash risk.The conclusions of this paper provide empirical support for the analysis of the formation mechanism of stock price crash risk under the combined action of media coverages and retail investors,and,the conclusion provide theoretical suggestions for government departments to establish more effective supervision systems and media guidance strategies.This paper focus on the stock price crash risk of Chinese listed companies from 2012 to2020,and explores the impact mechanism of stock price crash risk under the combined effect of media coverages and retail investors.First,this paper employing text analysis to construct firm-specific media behavior and retail investor sentiment.Then,this paper constructs the mediation effect model and the moderate effect model based on mediation effect respectively,and analyzes the influence mechanism of the media sentiment contagion of retail investors on the crash risk.Finally,this paper discusses the asymmetric characteristics of the abovementioned influence mechanism through sub-sample analysis and threshold effect test.Empirical results show that the sentiment of coverages of both mainstream media and secondary media increase the stock price crash risk,and the mediating effect of retail investor sentiment is significant under the contagion effect.Specifically,mainstream media has a stronger sentimental contagion effect on retail investors,while secondary media sentiment has a greater role in promoting crash risk.Second,media attention and investor attention are both“amplifier” of the stock crash risk based on sentiment contagion effect.Media attention deepens the sentiment contagion,while investor attention strengthens the mediating effect.In addition,this paper finds that media sentiment have an asymmetric impact on stock price crash risk.Specifically,more positive media sentiment has a stronger impact on stock crash risk,while the mediating role of retail investor sentiment is more prominent under negative media sentiment cause of negative bias,at the same time,when negative media sentiment tends to be extreme,information attention will amplify the adverse effects of investor sentiment on stock crash risk.