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

Joel Peress

Journal of Finance, 2014, vol. 69, issue 5, 2007-2043

Abstract: type="main">

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, 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.

Date: 2014
References: Add references at CitEc
Citations: View citations in EconPapers (176)

Downloads: (external link)
http://hdl.handle.net/10.1111/jofi.12179 (text/html)
Access to full text is restricted to subscribers.

Related works:
Working Paper: The Media and the Diffusion of Information in Financial Markets: Evidence from Newspaper Strikes (2013)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bla:jfinan:v:69:y:2014:i:5:p:2007-2043

Ordering information: This journal article can be ordered from
http://www.afajof.org/membership/join.asp

Access Statistics for this article

More articles in Journal of Finance from American Finance Association Contact information at EDIRC.
Bibliographic data for series maintained by Wiley Content Delivery ().