An Investigation into the Relationship between Media Content and Stock Return.

• Main Authors: Lin, Chun-Ling, 林君玲
• Other Authors: Chiu, Huei-Yu
• Format: Others
• Language: zh-TW
• Published: 2017
• Online Access: http://ndltd.ncl.edu.tw/handle/68pkb3

碩士 === 輔仁大學 === 金融與國際企業學系金融碩士班 === 105 === The study mainly follows the empirical research of Tetlock (2007) and García (2013), and investigates whether the relationship between financial media content and stock return has shown a declining trend due to the development of Internet and the rise of social media in the earlier and later periods of 2006. We also attempt to investigate the relationship between financial media content and stock return during the recession period from 1905 to 2015. Dow Jones Industrial Average return and the number of positive and negative words in the Business Day pages of the New York Times, in which we quantified the media content ranging from Jan. 1, 1905 to Dec. 31, 2015, a total of 29,951 trading days, are taken into account in this study. Through the threshold effect test, we test the existence of the threshold effect of the models and apply threshold vector autoregressive model to investigate if there is non-linear effect among the two most important variables: media content and stock return. The paper finds that the influence of newspaper media content has shown a declining trend, and the media content and stock return interacted partly corresponded to literature review but some are different from existing literature or general perception.