News media and investor sentiment during bull and bear markets

Alan J. Hanna, John Turner () and Clive B. Walker

The European Journal of Finance, 2020, vol. 26, issue 14, 1377-1395

Abstract: The news media have been described by Shiller ([2000]. Irrational Exuberance. Princeton, NJ: Princeton University Press.) as fundamental propagators of speculative price movements. We test whether investors react differently to sentiment in bull and bear markets using the tone of reporting in the Financial Times as a proxy for sentiment. Our sentiment proxy is a daily measure covering the period from 1899 to 2010. We find that the tone of the Financial Times influences trading volume during bull markets. These findings are consistent with noise traders driving trade during speculative booms and Shiller’s press-as-propagators hypothesis.

Date: 2020
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Citations: View citations in EconPapers (17)

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DOI: 10.1080/1351847X.2020.1743734

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