Social media, news media and stock market

• 1、Business School, Hunan Normal University

Abstract：With the development and advancement of information technology, social media has gradually evolved from a social tool and discussion platform to a media channel with more and more social influence to convey information and emotions. In order to examine the different impacts of social media and news media on the stock market, this paper selects the data of A-share listed companies in Shanghai and Shenzhen from January 2008 to December 2020 as a research sample. This paper shows that: (1) Social media has a greater impact on stock volatility, turnover and yield than the impact of traditional news media on the stock market. Moreover, the robustness test methods such as instrumental variable method and replacement media attention index still do not change the basic conclusion of this paper. (2) Heterogeneity analysis shows that the impact of social media and news media attention on the stock market will be affected by different market conditions, different company market capitalization, and the distribution of the number of companies in different industries. (3) The panel vector autoregressive model can better simulate the impact of social media and news media attention on the future stock market. In addition, at the market level, it was found that there was asymmetry in the impact of media attention on the stock market.

Keywords： Social media News media Idiosyncratic volatility Turnover Return