媒体报道、环境不确定性与股价同步性

Media Coverage,Environment Uncertainty and Stock Price Synchronicity

基于我国2003~2014年非金融类上市公司的媒体报道数据,本文分析了上市公司的媒体报道与股价同步性之间的关系。研究结论表明,媒体是否报道、媒体报道数量和股价同步性均显著负相关,表明媒体报道数量越多,公司股价同步性越低;但媒体报道语气越正面,股价同步性越高,表明媒体报道语气会影响投资者的投资决策,相对于负面报道的媒体新闻,投资者在制定相关投资决策时会无视或忽略正面报道的媒体新闻。进一步研究发现,环境不确定性降低了媒体报道的信息中介作用,因此抑制了媒体报道与股价同步性之间的负相关关系。本文的研究结论对理解不同语气的媒体报道以及不同环境下媒体报道的信息中介作用具有一定的启示。

Abstract： Based on the media coverage of non-financial listed companies in China during 2003-2014, this paper studies the relationship between the media coverage and stock price synchronicity. The results show that the media coverage and the number of media reports have a significant negative correlation with the synchronicity. But the positive tone of the media reports will increase the stock price synchronicity. This paper further finds that the negative relationship between media coverage and stock price synchronicity is weaker under higher uncertainty environment.