Abstract
With the development of Internet media, the information asymmetry between listed companies and individual investors has been greatly improved. However, the impact of information on the stock market is relatively complex, and that is different on disparate industries. This paper takes the stock data of science and technology enterprise BOE as a sample. Firstly, use text mining to measure media information and investor attention, and then construct multivariate regression model by adjusting the non-linear and heteroscedasticity to analyze correlation between media information, investor attention and stock price changes as well as stock liquidity. Also, breakpoint regression model is made. Finally, the influence mode is obtained, and combined with the actual situation, the relevant suggestions are put forward.
Highlights
1.1 Background The continuous development of mobile Internet and social media has widened the information channels of investors and improved the convenience of information access, and their research value is becoming increasing prominent
The stock price is taken as the dependent variable, and the investor attention and media information are used as independent variables for regression
That investor attention always has a strong correlation with the stock price for two weeks reflects investors pay more attention to the stock and raise the expectation of stock price means great recognition on business activities and profitability of enterprises, which will last for some time
Summary
1.1 Background The continuous development of mobile Internet and social media has widened the information channels of investors and improved the convenience of information access, and their research value is becoming increasing prominent. Based on the assumption that investors pay attention to public information passively, some studies choose advertising expenditure (Grullon, Kanatas, & Weston, 2004) (Note 10) and media reports (Fang & Peress, 2009) (Note 11) as indicators to explore their impact on stock liquidity and earnings. Xu (2019) (Note 13) made an empirical analysis based on the data samples of 17 coal industry listed companies, and found that there is a significant positive correlation between the investor attention and the stock return and liquidity of coal listed companies. Scholars have done more research on the impact of investor attention on the overall stock market, but relatively few in the field of science and technology, and there are some divergence in quantitative indicators. This paper assumes that there is a positive correlation between media information and investor attention on the stock price and liquidity
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