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财经媒体在金融市场上有着巨大的影响力。本文试图寻找能够对一类股票产生影响的冲击,并研究媒体关注程度不同的股票价格如何对冲击做出反应。选取组内价格联动性较强的行业分类方法和地域分类方法,在每个板块内分别建立高媒体关注度股票指数和低媒体关注度股票指数。实证结果表明,媒体频繁关注的股票的收益率可以有效地预测媒体关注度低的股票在未来的收益率。该结论是对股票价格传导机制很好的补充,且可用于量化投资策略,具有很好的现实意义。
Financial media has a huge influence in the financial markets. This article seeks to find the impact that can affect a class of stocks and how stock prices with different levels of media attention react to shocks. Select the industry grouping method and geographical classification method with strong price linkage in the group, and set up the high media attention stock index and the low media attention stock index respectively in each section. The empirical results show that the media frequently pay attention to the yield of the stock can effectively predict the media attention in the low stock returns in the future. This conclusion is a good complement to the stock price transmission mechanism and can be used to quantify the investment strategy, with very good practical significance.