媒体报道与股票市场相关性研究

The Correlation between the Media Reports and the Stock Markets

本文基于框架理论和前景理论研究视角,运用计量经济学研究方法,尝试揭示不同股市状态下媒体倾向性报道与上市公司股价涨跌幅度的关系。研究显示,处于股市行情的不同状态(牛市或熊市),倾向性新闻框架与上市公司股价涨跌幅度的相关性有所不同:牛市时,正、负倾向性新闻框架与上市公司股价涨跌幅度均呈现显著正相关,正、负倾向性新闻框架对股价涨幅均具有推升作用且影响程度相当;熊市时,正、负倾向性新闻框架与上市公司股价涨跌幅度均呈现负相关,负倾向性新闻框架的影响大于正倾向性新闻框架;处于相对平稳的股市状态时,二者均呈显著相关,但正倾向性新闻框架与股价增长幅度的相关性强于负倾向性新闻框架与股价跌落幅度的相关性。

Based on the framing Theory and prospect Theory,this paper uses econometrics methods to try to reveal the relationship between the media tendentious reports and the listed company stock price rising or falling in different states of the stock market.It shows that at the different stages of the stock market(bull or bear market),between the tendentious news frame and the listed company stock price rising or falling have different correlations:In bull market,the tendentious news frame and the listed company stock price rising or falling is significantly related to the positive,and whatever negative or positive tendentious news frame.In bear market,the tendentious news frame is negatively correlated with the listed company stock price rising or falling,and the influence of negative tendentious news frame is greater than that of the positive.In a relatively stable state,there is a significant correlation between two factors.The correlation between positive tendentious news frame and the increase of listed company stock price is stronger than that between negative tendentious news frame and the decline of listed company stock price.