Abstract
This article studies the model of the impact of real negative news on stock prices and provides evidence using China’s A‐share listed companies as an example. It first defines the negative news of the network. Then, it constructs the negative news to the stock price influence model, from the perspective of the theory of behavioral finance, the relationship between stock market and investor sentiment is systematically analyzed, and the theoretical support for the research of this paper is provided according to the definition of network negative news concept using the event study, abnormal returns test, regression analysis of the sample selected out of the study, observation of negative news before and after the abnormal returns, and excess returns changes. Studies have shown that negative news before 1 day and after 4 days makes stock price volatility larger, resulting in excess returns. The network negative news on the listed company’s stock price fluctuations can cause a certain degree of impact; in the short term, the fluctuation of the stock price of listed companies is more active. This article finds that when online media disclose negative information on listed companies from one day before to four days later, stock prices will fluctuate greatly, generate excess returns, and continue to make stock fluctuations more active in the short term. In addition, when studying the influencing factors of the stock price fluctuations of listed companies, we found that stock price fluctuations are affected by the company’s performance. The better the company’s performance is, the smaller the stock price fluctuations will be when it is affected by negative news. Finally, we find that the higher the shareholding ratio of institutional investors in listed companies, the more stable the stock price.
Highlights
With the rapid rise of online media, online news and public opinion have attracted more and more attention from netizens
Taking the release date of negative news of listed companies as the center, the daily return rate of individual stocks, the daily trading volume of single stock, and the corresponding daily return rate of market index of 10 trading days before and after the event date are extracted from the downloaded yield sample database from 2018 to 2019. e sample stocks selected in this paper are listed in Shenzhen Stock Exchange and Shanghai Stock Exchange, so we choose the market index corresponding to the daily yield data of Shenzhen Stock Index and Shanghai Composite Index
According to the research model selected in this paper, the abnormal return, average Cumulative Average Return, and Cumulative Average Return in the time window are calculated. e abovementioned operations are completed in the database with SQL statements
Summary
With the rapid rise of online media, online news and public opinion have attracted more and more attention from netizens. In an increasingly diversified media environment, according to the analysis of the public’s psychological factors, netizens are more inclined to be exposed to conflicting, irritating, and ambiguous negative information; especially in today’s rapid development of the mobile Internet, people’s timeliness of obtaining information and the convenience are higher, and the negative news on the Internet is getting more attention. E rise of network communication has brought great progress of mankind, especially in the field of information communication It has incomparable advantages and provides many conveniences for people’s life and economic development. Starting from the negative effect of network media, this study better analyzes the positive function of stock price volatility and urges investors to spread better news through the network system
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