Impacts of the mass media effect on investor sentiment

•Build a binary Logit model to analyze the impacts of media effect on investor sentiment.•Contain five categories of financial news, Economic Policy, Industrial Development, Index Forecast, Stock Market Reform, and International Economics, as independent indicators.•Conduct empirical analysis using data from a micro-level survey.•Show that the media effect produced by media reports will affect the investor sentiment and evaluation about the asset prices.•Show that the impact of media reports on the market is asymmetric in a bull market and a bear market.

Based on one set of micro-level survey data, we examine impacts of the mass media effect on investor sentiment. The financial information is distributed through three mass media channels. The study reveals that the mass media effect leads to investor sentiment fluctuation, and significantly affects investors' trading decisions. Moreover, the impacts of media reports are asymmetric: in a rising market, investors pay more attention to optimistic reports and ignore those with a negative signal; by contrast, in a declining market, investors are more vulnerable to pessimistic reports, and reports with active information do not bring a significant effect.