媒体信息对金融资产价格波动的影响——以股票市场为例
The Impact of Media Information on the Fluctuation of Financial Assets ——Taking the Stock Market as an Example

基于传统纸质媒体与新媒体获取全面的媒体信息数据，运用Fama-French三因子模型计算沪深300指成份股的特质波动率，并将媒体信息的关注度、媒体情感、媒体关注度与媒体情感的交互作用纳入统一的计量分析模型中，综合探究媒体信息对金融资产价格波动的影响。结果发现：媒体关注度和媒体情感对金融资产价格波动都具有显著性的影响；媒体关注度和媒体情感相互作用对金融资产价格产生影响；媒体信息对金融资产价格的影响在不同趋势下，其作用方向和程度均具有显著差异。
This paper probes comprehensively into the influence of media information on the fluctuations in prices of financial assets based on the full media information data acquired via traditional paper media and new media; the Fama-French three-factor model is used to construct the idiosyncratic volatility of constituent stocks of the Shanghai and Shenzhen 300 index; also the quantitative analytical model incorporates media attention, media sentiment and the interaction among media attention and media sentiment. The results shows that media attention and media sentiment have significant and differentiated influences on the fluctuations in prices of financial assets and such influences on the prices of financial assets are produced through their interaction; under different tendencies the influences of media information on the prices of financial assets are unsymmetrical.