新闻媒体报道对投资者情绪影响效应研究——来自我国股票市场的经验证据

A Study on Effect of Media Reports on Investor Sentiment:Evidence from China's Stock Market

当前,媒体的商业价值日益突显。新闻媒体往往通过对股票市场的预测和评价直接或间接地影响投资者预期和市场运行。利用我国财经权威媒体2007年1月至2014年10月对股票市场的报道文本,可构建媒体报道的衡量指标,并结合投资者情绪的波动状况分析了媒体报道、投资者情绪和股票收益的互动效应。实证结果显示:首先,媒体报道的乐观倾向、市场指数收益率对情绪产生显著的正向推动作用,但媒体报道密度和对未来的乐观预测并不会对情绪产生显著影响;其次,市场收益率自身呈现一定程度的反转效应,媒体报道的乐观词汇比率、乐观报道比率同样会对市场收益率产生正向冲击效应;最后,牛市环境下媒体报道的乐观倾向对情绪的影响比熊市环境更为显著。因此,为了更好地完善资本市场管理体制,有必要对新闻媒体进行有效监管,以确保股票市场信息及时、准确和有效地传递。

The commercial value of the media has become increasingly apparent,and media organizations often directly or indirectly affect investor sentiment and even market operations with their forecasts and assessments of the stock market.Using report texts released by authoritative financial media organizations in China between January 2007 and October 2014,measuring indicators were established. The interactive effects of the media reports,investor sentiment and stock returns were then analyzed in the context of the fluctuation of investor sentiment. Empirical results show that the optimism of media reports and market returns play a significant positive role in lifting investor sentiment,but the density of media reports and optimistic forecasts for the future have no significant effects on sentiment. In addition,market return rates have a certain degree of reversal effect,and the percentages of optimistic wording and reporting also have a positive impact on market returns. The impact of the optimism of media reports on investor sentiment in a bull market is more significant than in a bear market. Therefore,in order to improve the capital market management system,it is necessary to place news media under effective supervision,thus ensuring timely,accurate and effective transmission of stock market information.