大众媒体与新媒体信息传递对中国股市收益波动的影响

基于异质投资者框架对大众媒体新闻、新媒体新闻与中国股市收益波动的影响进行探究，研究结果发现：（1）平均看来，新媒体新闻、大众媒体新闻与收益波动都变现为显著的正相关关系，且新媒体新闻与收益波动的平均相关性大于大众媒体新闻与收益波动的平均相关性。（2）具有高前期收益，高账面市值比，高机构投资者持股比例与高换手率这样的能引起媒体关注的特征的公司，其收益波动与新媒体新闻的相关性大于与大众媒体新闻相关系的概率更大。（3）对于小市值与年轻的公司，信息不确定程度高，新媒体新闻与其收益波动的相关性更可能大于大众媒体新闻与其收益波动的相关性。这一结果可以归因于新媒体新闻丰富了投资者的信息环境，更能影响投资者的异质信念水平。

The Influence of the Mass Media and New Media on the Return Volatility in Chinese Stock Market

The Internet has became the main outlet for information dissemination. And it brings new and different influence on the stock market. Based on the framework of heterogeneous investors, we investigate the impact of the mass media news and new media news on the return volatility in Chinese stock market. By analyzing the relationships between the return volatility and the two types of news with the methods of correlation analysis and the proportional hazards model, it is found that (1) on average, there is an significant positive correlation between the two kinds of news and the return volatility. And the correlation coefficient between the new media news and the return volatility is bigger than the one between the mass media news and return volatility; (2) the firms with characteristics of high prior return, high book-to-market ratio, high percentage of institutional holdings and high turnover, that could attract the attention of the medias, are more likely to show a bigger correlation coefficient between the new media news and the return volatility; (3) there is a higher probability that the correlation coefficient between the new media news and the return volatility is bigger than the one between mass media news and return volatility for the smaller and younger firms due to the higher information uncertainty. In this paper, the above-mentioned findings are attributed to the fact that the new media news could enrich the information environment and have a more material impact on the heterogeneous belief of the investors. These results will profoundly contribute to our understanding of the role of information coming from different information sources played in the stock market.