The Influence Of Chinese And American Media Sentiment On Abnormal Return Rate Of Chinese Concept Stocks

Due to historical reasons,early Chinese concept stock(CCS)enterprises were forced to go abroad for financing.With economic integration,more and more domestic enterprises seek diversified financing channels and choose to go public in the overseas capital market,resulting in the team of CCS growing much faster in recent years.However,the world will still be in turbulence in the near future,the game between China and the U.S.will continue.The regulatory policies of various industries becoming more rigid,the barriers to listing being raised and living space of CCS being restricted as a result of a stricter censorship and information disclosure system.Delisting,returning to Hong Kong stocks,or maintaining the status quo are issues that CCS companies need to carefully consider.At the same time,mainstream media always enjoy the public’s trust,that is,credibility.The public is more inclined to believe that media reports facts,so that they can make new cognition and judgment on events based on media reports.The media reports has been improved to instant reporting,which greatly accelerates the transmission of information and makes the public’s judgment no longer limited by time.The fact that "media is subjective" is gradually recognized by people.In addition to the function of "information media",the media has also been given the function of "emotional transmission".As the supervisor of the capital market,the media’s supervision function becomes more and more indispensable.To avoid the impact of the COVID-19,this paper selects daily data for 691 working days of 66 companies,from February 2017 to December 2019,as samples to analyse the impact of Chinese and American media sentiment on the abnormal return rate of CCS and its mechanism.According to the study,the more positive the media sentiment in China and the U.S.,the higher the abnormal return of CCS,and vice versa.Further research finds that abnormal returns are more sensitive to positive U.S.media sentiment and negative domestic media sentiment,but less responsive to positive domestic media sentiment and negative U.S.media sentiment.The main reason is that under the tense China-US relations from 2017,the US media’s coverage of Chinese companies was more negative,plus the performance of CCS during the period was less than satisfactory,thus investors did not respond enough to the negative media sentiment on stocks,and overreact to positive reports.In view of the asymmetric impact of domestic media sentiment,companies may conduct public opinion management,and even collude with the media,which reduces the credibility of the media’s positive reports.Therefore,the positive reports of the domestic media have no significant impact on the abnormal returns of Chinese stocks.In terms of transmission mechanism,this paper uses the DH-Granger test to verify the linkage between Chinese and American media sentiment,and reckons that the lag term of domestic media sentiment guides on the current value of American media sentiment,and vice versa.Secondly,this paper verifies that the scale of domestic business income plays a moderating role in the performance of CCS in the influence of media sentiment,that is,the larger the scale of domestic business income,the notable the impact of domestic media sentiment on the abnormal returns of CCS.Due to most CCS and their business focus are in China,the moderating mechanism of business income is not significant in the process of American media sentiment affecting the performance of CCS.Thirdly,the study finds that the mediating effects of investor sentiment and earnings management are significant in the process of media sentiment affecting the abnormal returns of CCS,which verifies that the media sentiment in China and the United States affects the abnormal returns of CCS by affecting the investor sentiment and earnings management of CCS.According to the conclusion,while domestic investors understand the operation mechanism of the capital market,they should also collect domestic and foreign(U.S.)media information,and pay more attention to positive US media reports and negative domestic media reports,so as to make reasonable predictions on the stock price and make the most reasonable judgments;CCS companies judge the impact on the company’s stock price according to the current public opinion environment,so as to quickly and actively make corresponding public relations strategies and business deployment;Regulatory agencies should properly guide international public opinion related to China,and supervise domestic media to provide investors with more authoritative information.at the same time,Regulatory agencies should supervise enterprises to conduct information disclosure in a truthful and transparent way.