The impact of contagion effects of media reports, investors’ sentiment and attention on the stock market based on HAR-RV model

In this paper, the Shanghai Securities Composite Index and 18 A-share listed companies are used to justify the impact of contagion effects of media reports, investors’ sentiment and attention on stock market. Five indicators are built: The news media optimistic tendency, investors’ attention, investors’ sentiment, investors’ sentiment disagreement and media sentiment disagreement. Furthermore, theoretical models are constructed based on HAR-RV model to analyze the contagion structure between media sentiment and investors’ sentiment and its impact on the performance of stock market. Additionally, the “reverse silence spiral” theory is proposed to analyze the regulatory role of sentiment disagreement in the contagion effects according to the information communication theory. The empirical results demonstrate the following conclusions. (1) The optimism degree of media reports positively affects investors’ subjective sentiment and increases their transaction volume. (2) Strengthening investors’ attention to corporate-related information is the main path by which media sentiment interferes with investors’ sentiment. (3) Media sentiment will indirectly affect the excess return and volatility of stocks through investors’ sentiment and their transactions. (4) Media sentiment disagreement has weakened the influence of media sentiment on investors’ attention and sentiment. Investors’ sentiment disagreement has alleviated its impact on the excess returns and volatility of stocks.