Integreting investors, media and individual stock return into one model to further explore the interaction relationship between the three with panel VAR model. It indicates that the tone of media tends to have a greater impact on return than that of investors’ agreement, but the continuity of both is relatively weak. Specifically, pessimistic media tone leads to low return, while optimistic tone has a positive impact on return. However, due to overreaction of traders, the return will reverse and decrease. What''s more, during the market downturn, the response intensity of return to the information released by the media and traders'' behaviors is greatset.