Abstract:This paper investigates the formation mechanism of media effect in Chinese stock market. We prove the existence of media effect in Chinese market and examine the three hypotheses (Impediment to Trade Hypothesis, Return Continuation and Reversal Hypothesis and Investor Recognition Hypothesis) of its formation mechanism respectively. We compare the media effect in Main Board, Small and Medium Enterprise Board, and Growth Enterprise Market respectively. We find media effect is most significant in Growth Enterpris… Show more
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