The Spillover Effect Between The CSI New Energy Index And China Crude Oil Future Prices

It is generally believed that the transmission of information by media reports can reduce information asymmetry among investors.However,the media is not always objective and fair,and the mixed emotions have different effects on different types of investors and the stock market.In "post-truth" communication,it’s emotions,not facts,that matter.This paper focuses on the impact of media sentiment on different types of investor sentiment and the role of these impacts in the process of media sentiment affecting stock returns.This paper takes the period from December 2020 to December 2021 as the research time period,and the CSI100 constituent stocks are used as samples.The collected more than20,000 daily news texts are analyzed using the dictionary method and Python tools,and the media are constructed respectively.Comprehensive sentiment indicators,media positive sentiment indicators and media negative sentiment indicators.At the same time,the net purchase capital ratio is selected as the proxy variable of institutional investor and individual investor sentiment,and subdivided into comprehensive sentiment,positive sentiment and negative sentiment.The individual fixed-effect model was used to study the influence of media sentiment on stock returns,the influence of media sentiment on different types of investor sentiment,the impact of different investor sentiments on stock returns,and the mediating effect of different investor sentiments.The study found that: in terms of media sentiment affecting stock returns,the overall media sentiment was positively correlated with stock returns,and the negative media sentiment was negatively correlated with stock returns.In terms of the influence of media sentiment on investor sentiment,individual investors and institutional investors are distinguished: the negative media sentiment is positively correlated with the positive sentiment of individual investors,while the comprehensive media sentiment has a driving effect on the positive sentiment of institutional investors.In terms of investor sentiment affecting stock returns,individual investor sentiment is negatively correlated with stock returns,and institutional investor sentiment is positively correlated with stock returns.In terms of the mediating effect of investor sentiment,the positive sentiment of individual investors plays a mediating role when negative media sentiment affects stock returns,while the positive sentiment of institutional investors plays a partial mediating role when media sentiment affects stock returns.