论文研究-媒体关注与成交量:基于百度媒体指数的研究.pdf
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38
3
Vol.38, No.3
2018
3
Systems Engineering — Theory & Practice Mar., 2018
doi: 10.12011/1000-6788(2018)03-0576-09
: F832.48
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Media coverage and trading volume:
Evidence from Baidu media index
ZHANG Yongjie
1,2
, ZHANG Yuzhao
1
,JINXi
3
,SHENDehua
1,4
, ZHANG Wei
1,2
(1. College of Management and Economics, Tianjin University, Tianjin 300072, China; 2. Key Laboratory of Computation
and Analytics of Complex Management Systems, Tianjin 300072, China; 3. Departmen t of Finance, Tianjin University of
Finance and Economics, Tianjin 300222, China; 4. China Center for Social Computing and Analytics, Tianjin University,
Tianjin 300072, China)
Abstract 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 Chi-
nese 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.
Keywords media attention; Baidu media index; high frequency data; trading volume decompositions;
abnormal stock returns
1
FG
,
,
Æ
H
IJ
: 2016-08-10
KL
:
(1979–),
,
,
,
,
:
, E-mail:
yjz@tju.edu.cn.
MÆ
:
(71771170, 71701150, 71320107003);
(2016JWZD08)
Foundation item: National Natural Science Foundation of China (71771170, 71701150, 71320107003); Core Projects in Tianjin
Education Bureaus Social Science Program (2016JWZD08)
NOPQ
R
:
,
,
,
.
:
Æ
[J].
, 2018, 38(3):
576–584.
SOPQ
R
: Zhang Y J, Zhang Y Z, Jin X, et al. Media coverage and trading v olume: Evidence from Baidu media index[J].
Systems Engineering — Theory & Practice, 2018, 38(3): 576–584.
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