Research on the interactive effect of media attention and trading volume on stock return

Recent researchers have found stable relationship between media attention and stock price, trading volume as well as liquidity, but rare study focus on the interactive effect of media attention and trading volume on stock return. Our research bases on the listed bank stocks in China, uses the Baidu index data, and drive a panel data analysis. We find that there is a negative relationship between media attention and stock return, and a significant interactive effect of media attention and trading volume on stock return, that is, the effect of media attention on stock return increases when the trading volume increase. In the future, we will study the differences between countries to find more information about the effect, which can also enrich this research.