How Does the Network Media Attention Affect Stock Returns? ---Evidence of Listed Company in China

The influence of network media on social economy becomes more and more important, but the existing literature lacks the analysis of the path about the impact of network media on stock returns. With the listed companies on Shenzhen Stock Exchange of China and the network media reports about them, the paper studies the transfer path of network media attention on stock returns. The results show that the impact of network media attention on stock returns occurs through the middle variables of volume and stock price, implying investors are more likely to be attracted by the high degree of network media attention, which lead to frequent transactions and stock price decline. The paper also shows that the cause and the transmission path are basically in line with the theory of over-attention under performance hypothesis, and the media effect exists.