媒体关注与成交量:基于百度媒体指数的研究

本文利用百度指数的煤体指数数据,研究了媒体关注度与个股成交量之间的关系,研究发现:媒体关注度高的交易日中,有较高的成交量;通过对日连续竞价成交总量分解和日连续竞价成交量偏差成因分析,进一步发现在媒体关注度高的交易日中,成交量增加主要是由于少数大规模成交产生的;在媒体关注度高的交易日中,会有较高的收益率和异常收益率,并且在新闻量较高且大规模成交占比较高的交易日中,会有非常高的收益率和异常收益率.

Media coverage and trading volume:Evidence from Baidu media index

In this paper, we investigate the relations between media attention and daily trading volume with the utilization of the Baidu media index from Baidu search engine as well as capital data in Chinese stock market. The empirical results show that:firstly, the daily trading volume in the high media attention trading days is significant larger than that of the low media attention trading days; secondly, by decomposing the aggregate trading volume into three components, i.e., the average number of transaction, the average number of order in per transaction and large size order, we find that the increased trading volume in the high media attention trading days is mostly driven by the large size order; thirdly, there are significant stock returns and abnormal returns in the trading day with high media attention. Moreover, there are very high stock returns and abnormal returns in the trading day with both high media attention and large size order.