大众媒体与新媒体信息传递对中国股市收益波动的影响

doi:10.16381/j.cnki.issn1003-207x.2018.1769

Abstract

Abstract: The Internet has became the main outlet for information dissemination. And it brings new and different influence on the stock market. Based on the framework of heterogeneous investors, we investigate the impact of the mass media news and new media news on the return volatility in Chinese stock market. By analyzing the relationships between the return volatility and the two types of news with the methods of correlation analysis and the proportional hazards model, it is found that (1) on average, there is an significant positive correlation between the two kinds of news and the return volatility. And the correlation coefficient between the new media news and the return volatility is bigger than the one between the mass media news and return volatility; (2) the firms with characteristics of high prior return, high book-to-market ratio, high percentage of institutional holdings and high turnover, that could attract the attention of the medias, are more likely to show a bigger correlation coefficient between the new media news and the return volatility; (3) there is a higher probability that the correlation coefficient between the new media news and the return volatility is bigger than the one between mass media news and return volatility for the smaller and younger firms due to the higher information uncertainty. In this paper, the above-mentioned findings are attributed to the fact that the new media news could enrich the information environment and have a more material impact on the heterogeneous belief of the investors. These results will profoundly contribute to our understanding of the role of information coming from different information sources played in the stock market.

Key words: mass media news, new media news, return volatility, confirmatory bias, overconfidence, heterogeneous belief

CLC Number:

F830

ZHANG Zuo-chao, ZHANG Yong-jie, SHEN De-hua, ZHANG Wei. The Influence of the Mass Media and New Media on the Return Volatility in Chinese Stock Market[J]. Chinese Journal of Management Science, 2021, 29(6): 238-248.

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The Influence of the Mass Media and New Media on the Return Volatility in Chinese Stock Market

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