Media Coverage and Stock Return in the Taiwan Stock Market

Kuei-Yuan Wang (), Chien-Kuo Chen () and Hsiao-Chi Wei ()
Additional contact information
Kuei-Yuan Wang: Department of Finance, Asia University, 500, Lioufeng Rd., Wufeng, Taichung 41354, Taiwan, R.O.C.
Chien-Kuo Chen: Taiwan Knowledge Bank, 3F., 60, Bo’ ai Rd., Zhongzheng Dist., Taipei City 10041, Taiwan, R.O.C.
Hsiao-Chi Wei: Dadu Elementary School, 77, Huashan Rd., Dadu District, Taichung City 432-52, Taiwan, R.O.C.

Acta Oeconomica, 2015, vol. 65, issue supplement2, 35-53

Abstract: The purposes of this paper were to explore the relationship between media coverage and stock returns in Taiwan stock markets. The empirical results were as follows: (1) stock returns showed causality with either media coverage amounts or the degrees of good/bad media coverage; (2) when impacted by the past stock returns, the stock return might finish its response to the impulse around three days and showed a negative effect, whereas when impacted by the past media coverage amounts, the media coverage amount might also finish its response to the impulse within three day and showed a negative effect; (3) when impacted by the degrees of the past good media coverage, the good media coverage degree might finish its response in three days and showed a negative effect, in which a positive effect might be presented on the first two days, while the effect might turn negative on the third day. Given that, when impacted by the past stock returns, the stock return might finish its response to the impulse within three days and showed a negative effect and, when impacted by the degrees of the past good media coverage, the stock return might also finish its response in three days and showed a negative effect. That is, media coverage could be used as an indicator to predict stock returns in the Taiwan stock markets when making investment decisions.

Keywords: media coverage; stock return; impulse response analysis (search for similar items in EconPapers)
Date: 2015
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