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Media Attention and the Synchronization of Listed Companies' Stock Prices

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The influence of media releases on the synchronization of listed businesses' stock prices is examined in this paper using data on the A-share market from 2009 to 2020. The study's discoveries indicate that the higher media exposure can significantly reduce the synchronization of stock prices of listed companies, thereby helping to improve the company's stock pricing efficiency. The conclusion remains robust after excluding special samples and replacing core explanatory variables for robustness analysis. Further analysis of the heterogeneity according to the size of firms listed on the stock market and the nature of their property rights shows that media reports have a substantial influence on the synchronization of stock prices of private enterprises and small-scale enterprises, and relatively little impact on the stock price synchronization of government-owned businesses and large-scale enterprises. The study's findings have theoretical merit as well as practical implications for enhancing a company's stock price effectiveness and preserving market stability.
Highlights in Business, Economics and Management
EMFT 2022
Volume 2 (2022)
483
Media Attention and the Synchronization of Listed Companies'
Stock Prices
Shiye Yu*
School of Finance, Southwestern University of Finance and Economics, Sichuan Province, China
*Corresponding author. Email: 41904230@smail.swufe.edu.cn
Abstract. The influence of media releases on the synchronization of listed businesses' stock prices
is examined in this paper using data on the A-share market from 2009 to 2020. The study's
discoveries indicate that the higher media exposure can significantly reduce the synchronization of
stock prices of listed companies, thereby helping to improve the company's stock pricing efficiency.
The conclusion remains robust after excluding special samples and replacing core explanatory
variables for robustness analysis. Further analysis of the heterogeneity according to the size of firms
listed on the stock market and the nature of their property rights shows that media reports have a
substantial influence on the synchronization of stock prices of private enterprises and small-scale
enterprises, and relatively little impact on the stock price synchronization of government-owned
businesses and large-scale enterprises. The study's findings have theoretical merit as well as
practical implications for enhancing a company's stock price effectiveness and preserving market
stability.
Keywords: Media attention, Stock price synchronization, Pricing efficiency.
1. Introduction
The term "share price synchronization" describes the relationship between a single company's
share price movement and the market's average change. It is generally measured by R squared
indicator of the model between individual stock income and market income and industry income. A
higher R2represents the greater portion of individual stock earnings interpreted by industry anf market
earnings, which is relatively influenced by market and industry fluctuations. Eun et al. calculated the
synchronization level of the stock price of the world's major economies and discovered that the
Chinese market has the highest level of stock price synchrony in the whole globe [1]. The previous
research results have indicated that higher stock price synchronization will have certain negative
effects on listed companies, such as reducing the rationality of resource allocation, reducing the
possibility of identifying and replacing underperforming executives, and increasing the risk of stock
price crash [2], etc. Especially under the major exogenous shocks of various uncertainties, driven by
common factors in the market, the stocks of listed companies are more prone to the convergence
phenomenon of "rising and falling together". Therefore, under the background of the current stock
market convergence phenomenon caused by the uncertain and exogenous shock of the new crown
epidemic, it is important to do study on the variables that affect listed firms' stock price
synchronization.
The media, which serves as the primary source of information for investors on listed firms, will
also have some influence on the investment choices of investors. For example, positive or negative
media reports will expand the exposure of listed companies through information channels, which may
trigger investors' "herd response", and further affect the synchronous change trend of listed
companies' share prices. Based on this, this paper incorporates the synchronization between media
reports and listed companies' stock prices of into a unified analysis framework. The study found that
the media reports of listed companies can help lower the synchronicity of stock price and enhance
stock pricing efficiency. The conclusion remains robust after multiple robustness analysis.
Highlights in Business, Economics and Management
EMFT 2022
Volume 2 (2022)
484
2. Literature review
Currently, numerous investigations have been done regarding this field. For example, Li and Shen
believe that the media, as an informal external supervision mechanism, it has great significance to
promote the level of corporate governance and strengthen enterprise supervision [3]. At the same
time, Cu and Li believe that higher media exposure can effectively promote corporate governance
and reduce agency costs [4]. In addition, higher media attention is helpful to improve the company's
information disclosure quality and further improve the decision-making usefulness of fundamental
information of listed companies [5-6]. When more basic news of listed companies is incorporated
into the share price, in the end, it will assist in reducing stock price synchronization and enhancing
efficiency.
Based on the "noise view" related research, it is found that because investors are not completely
rational, media reports are likely to trigger the "herd effect" of investors, which further induces
investors to converge on optimism and pessimism [7], so that the share prices of listed companies
which have higher media exposure incorporate more non-fundamental information and irrational
factors driven by the company, which will eventually lead to the excessive reflection of the listed
company’s stock price deviating from the fundamental value, thereby reducing the synchronization
of stock prices [8]. In addition, under the premise of short-selling restrictions and heterogeneous
beliefs, the increased investor attention brought by media reports is more likely to trigger investors'
irrational behaviour [9]. Further, the irrational behavior of investors will accelerate the integration of
the company's non-fundamental information and the irrational behavior driven by it into the price.
Eventually, the enterprise's share price will fluctuate more than the market and industry. To sum up,
the following assumptions are made: the higher media coverage can help drop the synchronization of
listed companies' stock prices.
3. Study Design
3.1 Source of Data and Selection of Sample
In this paper, data from the A-share market is collected and the final study sample is obtained
through the following processing: First, exclude financial listed companies. Since real estate
companies in China have strong financial attributes, the sample of real estate companies is further
excluded; Second, eliminate listed companies with abnormal financial status or other conditions;
Third, remove the relevant variables with more serious sample missing; Fourth, this article removes
the sample data with sample observations less than 5 years based on the principle of "five-year
coherence"; Fifth, in order to reduce the influence of outliers, in this paper, 1% and 99% tails of all
continuous variables at the micro level are reduced. After the above processing, a total of 25,113
company annual samples were obtained.
Calculation of key indicators and description of variables
stock price synchronicity (Synch). Learn from the ideas of Durnev et al. and Xu et al [10, 11].
The following model (1) is adopted to calculate R2 of individual stocks of listed companies, which is
used to measure the synchronization of listed companies' stock prices.
ti
tI
it
mi
it
irrr ,,
2,,
1,
,
εβ
βα
+++=
(1)
In model (1), ri,t indicates the weekly yield of the stock, rm,t represents the weekly yield of the
stock market index in t week, rI,t means the weekly rate of yield of industry I in week t. The data
comes from the CSMAR database and the classification of industries shall refers to the classification
standards published by China Securities Association.
Lower R2 indicates that the stock price reflects more heterogeneity messages, and the pricing
efficiency is higher, while the larger R2 indicates that the pricing efficiency is lower and that less
specific information about the firm is reflected in the stock price.
Highlights in Business, Economics and Management
EMFT 2022
Volume 2 (2022)
485
Media attention (Media). The total number of news reported by the media each year of listed
companies is used as a measure of media attention, and the data comes from the CNRDS database.
Control variables. Other influencing factor show negligible impact on the stock return, for the
sake to comprehensively explore the issue, this paper chose several indicators according to Xiao and
Shen [12]. Detailed definitions of main variables are shown in Table 1.
Table 1. The selected variables
Symbol
Explanation
Definition
Synch
stock price synchronicity
R2
Media
Media attention
Total annual news coverage of listed
companies
Size
Enterprise scale
Logarithm of total annual assets
Lev
Asset-liability ratio
Total liabilities at year end
/ total assets at year end
Growth
Operating income growth
rate
Current year operating Income/previous year
operating income -1
Top1
Ownership concentration
Shares owned by the greatest shareholder/the
total number of shares
SOE
Nature of the enterprise
Enterprise nature. 1 for state-controlled
enterprises, 0 for others
3.2 Descriptive Statistical Analysis
Table 2 indicates the descriptive results of these selected variables in this paper. Based on the
statistical results of the sample, the mean and standard deviation of stock price synchronization
(Synch) of listed companies are 0.459 and 0.193, respectively. The minimum value and the maximum
value are quite different, indicating that there are great differences in stock price synchronicity
changes among diverse listed companies. In addition, from the sample statistics of media reports, it
can be seen that the difference between the minimum and maximum values of media reports is as
high as 9.682, indicating that media attention is significantly different for different companies, and
there is a certain preference for media reports.
Table 2. Descriptive Statistics
Variable
Mean
Min
Median
Max
Synch
0.459
0.001
0.465
1.000
Media
5.101
0.693
5.056
10.375
Size
22.253
19.350
22.088
26.395
Lev
0.442
0.027
0.438
0.990
Growth
0.166
-0.732
0.100
4.806
Top1
0.344
0.084
0.321
0.758
SOE
0.397
0.000
0.000
1.000
3.3 Correlation coefficient
As can be seen from Table 3, almost all selected variables are positively connected with the
synchronicity expect for the operating income growth rate. However, correlation analysis does not
have a causal relationship. Theoretically, media reports can supervise listed companies in a certain
degree and improve the efficiency of stock pricing on a certain level. Therefore, it is necessary to test
the correlations for media reports and stock price synchronization by empirical methods.
Table 3. Correlation Analysis
Variable
Synch
Media
Size
Lev
Growth
Top1
SOE
Synch
1.000
Media
0.082
1.000
Size
0.221
0.444
1.000
Highlights in Business, Economics and Management
EMFT 2022
Volume 2 (2022)
486
Lev
0.010
0.170
0.482
1.000
Growth
-0.056
0.054
0.035
0.020
1.000
Top1
0.095
0.084
0.218
0.071
0.017
1.000
SOE
0.170
0.061
0.326
0.278
-0.059
0.259
1.000
4. Empirical analysis
4.1 Benchmark regression analysis
To estimate the influence of media reports of listed companies on stock price synchronicity, this
article sets up the following model (2) for estimation, and further adds a year dummy variable (year)
and an industry dummy variable (Industry) to the model in order to reduce the impact of time
exogenous shocks and industry common shocks on firm performance.
titititititi YearIndustryControlMediaSynch ,,,,,10,
εαα
+Σ+Σ+Σ++=
(2)
In model (2), Synchi,t means stock price synchronicity of company I in t year; Mediai,t shows the
level of media coverage of enterprise i in year t; Controli,t means the control variables; both Yeari,t
and Industryi,t are the industry dummy variables; εi,t is a random disturbance term. The regression
estimation of model (2) is carried out using ordinary OLS plus robust standard errors in this article
Table 4 shows the benchmark regression results of model (2). To make sure the regression
conclusions are accurate and prevent the influence of missing variables on the reliability of the results,
this paper adopts a progressive regression strategy to estimate model (2). Columns (1)-(5) in Table 4
all control the year and industry dummy variables. Column (1) only controls the size of the company.
The estimated results indicate that the regression coefficient of media reports on stock price
synchronicity is -0.0184, which has passed the 1% statistical significance test. The asset-liability ratio
is added in Column (2) based on Column (1). The regression coefficient of "media coverage - stock
price synchronicity" is -0.0188, which has also passed the 1% statistical significance test. Column (3)
adds the operating income growth rate based on column (2), the regression coefficient is -0.0181, and
it has also passed the 1% statistical significance test. Column (4) further adds the proxy variable of
the company’s equity concentration based on column (3). The results indicate that the regression
coefficient is -0.0183 and has passed the 1% statistical significance test. Column (5) adds all control
variables and indicates that the regression coefficient of media reports on stock price synchronicity
is -0.0171, which has also passed the 1% statistical significance test. The above stepwise regression
results demonstrate that media reports are helpful to lower stock price synchronicity and enhance
stock pricing efficiency.
Table 4. Benchmark regression results
(1)
(2)
(3)
(4)
(5)
Media
-0.0184***
-0.0188***
-0.0181***
-0.0183***
-0.0171***
(-13.7162)
(-14.0638)
(-13.6347)
(-13.7459)
(-12.8434)
Size
0.0485***
0.0573***
0.0579***
0.0584***
0.0561***
(44.6492)
(49.3832)
(49.8982)
(49.6480)
(46.9603)
Lev
-0.1230***
-0.1230***
-0.1240***
-0.1325***
(-20.6615)
(-20.6854)
(-20.7921)
(-22.0086)
Growth
-0.0357***
-0.0357***
-0.0338***
(-15.2108)
(-15.2053)
(-14.4347)
Top1
-0.0165**
-0.0284***
(-2.2098)
(-3.7934)
SOE
0.0258***
(10.6033)
Constant
-0.3360***
-0.4647***
-0.4778***
-0.4805***
-0.4490***
(-13.5046)
(-18.1886)
(-18.7093)
(-18.8094)
(-17.5176)
Year / industry
Y
Y
Y
Y
Y
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487
Observed value
25,113
25,113
25,113
25,113
25,113
R2
0.297
0.309
0.315
0.315
0.318
Note: In parentheses are t values adjusted by robust standard error, ***p<0.01, **p<0.05, *p<0.1,
the same below.
4.2 Robustness Test
The above benchmark regression basically proves that media reports significantly reduce the
synchronization of listed companies' stock prices. For making this conclusion more reliable, this
article further uses the following two methods to conduct robustness tests. First, exclude the 2020
company sample. Due to the impact of the new crown epidemic on listed companies in 2020, the
stock prices of listed companies on the whole show violent fluctuations. Including the 2020 samples
into the unified analysis may affect the regression results. Based on this, this paper further removes
the 2020 samples to re-estimate model (2). Second, replace the core explanatory variables. In order
to investigate the impact of different media attention types on stock price synchronicity, this article
further splits the total media reports into positive, neutral, and negative media reports.
Table 5 indicates the regression results after excluding the 2020 sample. The results in columns
(1)-(5) of Table 5 indicate that, after excluding the samples in 2020, the regression coefficients of
media reports on the synchronization of stock prices are less than zero, which all have passed the 1%
statistical significance tests, showing that without considering the exogenous impact of the COVID-
19 in 2020, media reports have an obvious inhibitory effect on the synchronization of listed
companies' stock prices, which is helpful to enhance stock pricing efficiency.
Table 5. Excluding special samples
(1)
(2)
(3)
(4)
(5)
variable
Synch
Synch
Synch
Synch
Synch
Media
-0.0186***
-0.0191***
-0.0183***
-0.0185***
-0.0174***
(-13.0984)
(-13.5002)
(-13.0247)
(-13.1662)
(-12.3565)
Size
0.0466***
0.0553***
0.0558***
0.0564***
0.0542***
(40.3514)
(44.2096)
(44.6853)
(44.6520)
(42.2186)
Lev
-0.1157***
-0.1151***
-0.1165***
-0.1258***
(-17.9259)
(-17.9062)
(-18.0635)
(-19.2846)
Growth
-0.0379***
-0.0379***
-0.0357***
(-15.2345)
(-15.2319)
(-14.3895)
Top1
-0.0220***
-0.0337***
(-2.8138)
(-4.2883)
SOE
0.0263***
(10.2532)
Constant
-0.2908***
-0.4205***
-0.4337***
-0.4373***
-0.4047***
(-11.0641)
(-15.4391)
(-15.9340)
(-16.0585)
(-14.8131)
Year / industry
Y
Y
Y
Y
Y
Observed value
22,574
22,574
22,574
22,574
22,574
R2
0.283
0.294
0.301
0.302
0.305
Table 6 shows the regression results after changing the key explanatory variables. The core
explanatory variables in columns (1)-(3) in Table 6 represent positive, neutral and negative media
reports, respectively. According to the regression findings in column (1), the coefficient of positive
media news on the synchronization of listed businesses' share prices is -0.0104, which has passed the
1% statistical significance test. In column (2), the impact coefficient of media neutral reports on the
synchronization of stock prices is -0.0098, which has passed the 1% statistical significance test. The
regression coefficient of negative media reports on the synchronization of stock prices in column (3)
is -0.015, which passed the statistical significance test of 5%. The influences of three different types
of media reports on the synchronization of listed companies' stock prices are different. Among them,
negative media reports have a relatively great influence on stock price synchronicity, while neutral
Highlights in Business, Economics and Management
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Volume 2 (2022)
488
media reports have relatively little influence. The above regression results all indicate that after
changing the core explanatory variables, media attention has a obvious inhibitory impact on stock
price synchronicity, and it can still help promote the stock pricing efficiency of listed companies. It
is further proved that the basic conclusion of this paper is reliable.
Table 6. Replacing core explanatory variables
(1)
(2)
(3)
Positive
-0.0104***
(-7.4028)
Neutral
-0.0098***
(-7.6165)
Negative
-0.0150***
(-10.9679)
Size
0.0531***
0.0532***
0.0539***
(43.9285)
(43.8740)
(46.8264)
Lev
-0.1352***
-0.1340***
-0.1310***
(-22.3535)
(-22.1898)
(-21.7439)
Growth
-0.0336***
-0.0343***
-0.0353***
(-14.3004)
(-14.6077)
(-14.9987)
Top1
-0.0252***
-0.0252***
-0.0275***
(-3.3665)
(-3.3553)
(-3.6612)
SOE
0.0274***
0.0272***
0.0264***
(11.2383)
(11.1442)
(10.8441)
Constant
-0.4276***
-0.4423***
-0.4404***
(-16.3345)
(-16.4736)
(-17.1329)
Year / industry
Y
Y
Y
Observed value
25,113
25,113
25,113
R2
0.315
0.315
0.317
4.3 Heterogeneity Analysis
To examine whether the impact of media reports on the synchronization of stock prices of different
types of listed companies has differences in system and scale, this paper divides the whole sample
into the following ways to test for heterogeneity. Firstly, the heterogeneity test is carried out according
to the size of the enterprise. The enterprise size is divided according to the median of the year-end
assets of listed companies. The company's year-end asset size is larger than the median of the annual
asset size of all companies is divided into large enterprises, and smaller than the median is divided
into small enterprises. Secondly, according to the property rights of enterprises, all sample enterprises
are divided into government-owned and private enterprises to test the influence of media attention on
the synchronization of stock prices of listed companies with different property rights. Table 7 shows
the heterogeneity test regression results.
Columns (1) - (2) in Table 7 report the impact of media attention on the synchronization of share
prices of listed enterprises of different sizes. The results in columns (1) - (2) show that the impact
coefficient of media reports on the synchronization of share prices of large-scale enterprises is -0.007,
and the impact coefficient of media reports on small-scale enterprises is -0.0321, both of which have
passed the 1% statistical significance test. In addition, it indicates that there are obvious differences
in the influence of media reports on stock price synchronicity of listed enterprises which have
different sizes. Media reports show different impacts for small-scale and large-scale companies. In
addition, the results in column (3) indicate that media reports on state-owned enterprises significantly
affects the synchronicity. A similar result can also be found in Column (4). The above results indicate
that higher media exposure has a relatively large effect on the synchronization of private companies'
share prices, and a relatively small impact on state-owned enterprises.
Highlights in Business, Economics and Management
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Volume 2 (2022)
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Table 7. Heterogeneity analysis
(1)
(2)
(3)
(4)
large-scale
enterprises
small-scale
enterprises
state-owned
enterprises
private
enterprises
Media
-0.0070***
-0.0321***
-0.0099***
-0.0249***
(-3.7871)
(-16.2860)
(-4.9140)
(-13.8712)
Size
0.0620***
0.0522***
0.0604***
0.0496***
(29.5479)
(19.5909)
(33.3418)
(30.6017)
Lev
-0.1256***
-0.1175***
-0.1280***
-0.1158***
(-13.1905)
(-14.8451)
(-13.2858)
(-14.7590)
Growth
-0.0366***
-0.0272***
-0.0333***
-0.0341***
(-11.1047)
(-8.1695)
(-8.1547)
(-11.9319)
Top1
-0.0373***
-0.0290***
-0.0196*
-0.0510***
(-3.6793)
(-2.6191)
(-1.6736)
(-5.1253)
SOE
0.0344***
0.0156***
(10.2632)
(4.4065)
Constant
-0.5917***
-0.3498***
-0.5281***
-0.3219***
(-13.1984)
(-6.0902)
(-14.5937)
(-8.3357)
Year /
industry
Y
Y
Y
Y
Observed
value
12,553
12,560
9,970
15,143
R2
0.342
0.293
0.364
0.277
5. Conclusion
The synchronicity is a key indicator to evaluate the efficiency of stock pricing, besides, it is of
significance to study the influencing factors of synchronization of listed companies' stock prices, for
enhancing a company's stock price effectiveness and preserving market stability. This paper finds
that the higher media exposure of listed enterprises has a more obvious effect on the synchronization,
and the higher media attention can help to enhance the efficiency of stock pricing. After excluding
the exogenous impact of the COVID-19 in 2020 and doing the robustness analysis according to the
type of media reports, it is found that the inhibitory effect of media reports on the synchronization of
stock prices remains stable. Further, based on the heterogeneity regression of the property rights and
scale differences of listed companies, it is found that media reports have a relatively large impact on
the stock price synchronization of small-scale enterprises and private enterprises, and a relatively
small influence on state-owned enterprises and large-scale enterprises.
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Article
Given the rising emphasis on environmental disclosures and the expressed importance of ‘good’ governance in determining the extent of information disclosure in general, we examine the relation between specific aspects of governance and media coverage and the quality of voluntary environmental disclosure (VED). Using a sample of 127 firms over a six-year period (2000 to 2005), we empirically test characteristics of governance and media in relation to VED. Our results suggest that VED quality is positively associated with environmental media coverage, negative environmental media and board attributes of independence, diversity, and expertise. Results from supplemental analysis suggest that institutional investors exert influence over managerial decisions on environmental reporting only in the face of negative environmental media. Additionally, results from longitudinal analyses indicate that the quality of environmental disclosures increases over time. Our conclusion discusses the implications of these findings.
Article
http://deepblue.lib.umich.edu/bitstream/2027.42/35586/2/b2039102.0001.001.pdf http://deepblue.lib.umich.edu/bitstream/2027.42/35586/1/b2039102.0001.001.txt
  • C S Eun
  • L Wang
  • S C Xiao
  • Culture
Investor protection and corporate governance: Evidence from worldwide CEO turnover
  • M L Defond
  • M Hung
Press coverage and stock price deviation from fundamental value
  • C W Chen
  • C Pantzalis
  • J Park
Empirical Study on Media as Watchdog in Corporate Governance
  • W H Cu
  • P Li
News media coverage and capital market pricing efficiency--Analysis based on stock price synchronization
  • J Huang
  • Z R Guo
Spiral of Silence: Media Sentiment and the Asset Mispricing
  • J X You
  • J Wu