The Media and the Diffusion of Information in Financial Markets: Evidence from Newspaper Strikes

59 Pages Posted: 17 Sep 2013

Multiple version iconThere are 3 versions of this paper

Date Written: September 2013

Abstract

The media are increasingly recognized as key players in financial markets. I investigate their causal impact on trading and price formation by examining national newspaper strikes in several countries. Trading volume falls 12% on strike days. The dispersion of stock returns and their intraday volatility are reduced by 7%, while aggregate returns are unaffected. Moreover, an analysis of return predictability indicates that newspapers propagate news from the previous day. These findings demonstrate that the media contribute to the efficiency of the stock market by improving the dissemination of information among investors and its incorporation into stock prices.

Keywords: informational diffusion, market efficiency, media

JEL Classification: G14

Suggested Citation

Peress, Joel, The Media and the Diffusion of Information in Financial Markets: Evidence from Newspaper Strikes (September 2013). CEPR Discussion Paper No. DP9653, Available at SSRN: https://ssrn.com/abstract=2326517

Joel Peress (Contact Author)

INSEAD - Finance ( email )

Boulevard de Constance
F-77305 Fontainebleau Cedex
France
+33 1 60 72 40 00 (Phone)
+33 1 60 72 40 45 (Fax)

Do you have negative results from your research you’d like to share?

Paper statistics

Downloads
0
Abstract Views
880
PlumX Metrics