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

Joel Peress ()

No 9653, CEPR Discussion Papers from C.E.P.R. Discussion Papers

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; Media; Market efficiency (search for similar items in EconPapers)
JEL-codes: G14 (search for similar items in EconPapers)
Date: 2013-09
New Economics Papers: this item is included in nep-cul and nep-mst
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Journal Article: The Media and the Diffusion of Information in Financial Markets: Evidence from Newspaper Strikes (2014) Downloads
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