Media effects matter: Macroeconomic announcements in the gold futures market

Qi Liang, Wenjia Sun, Wenyu Li and Fengyan Yu

Economic Modelling, 2021, vol. 96, issue C, 1-12

Abstract: Despite increasing research on firm-specific news, it is unclear how the media affects the assimilation of macroeconomic news by futures markets. To fill this gap, we employ scheduled and non-scheduled macroeconomic announcements, as well as 60,030 instances of macroeconomic news reporting in China, to investigate the media’s role in transmitting macroeconomic news to the gold futures market. We find that macroeconomic announcements, while necessary, may not be sufficient to drive the gold futures market. Meanwhile, the media—as a vital intermediary—is essential for news absorption; the effect is stronger for national and political media. Further, the gold futures market asymmetrically reacts to good and bad news; only reporting on good news can invoke significant market responses. Our findings demonstrate the importance of the information environment cultivated by powerful media in improving the efficiency of financial markets, and help to explain why bad news moves slowly from a media perspective.

Keywords: Macroeconomic news; Media; Gold futures market; Good news; Conditional volatility (search for similar items in EconPapers)
JEL-codes: G13 G14 (search for similar items in EconPapers)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (7)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecmode:v:96:y:2021:i:c:p:1-12

DOI: 10.1016/j.econmod.2020.12.018

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