Acquisition of information and share prices: An empirical investigation of cognitive dissonance

Elena Argentese, Helmut Luetkepohl and Massimo Motta ()
Authors registered in the RePEc Author Service: Helmut Lütkepohl

No ECO2006/32, Economics Working Papers from European University Institute

Abstract: This paper deals with the determinants of agents’ acquisition of information. Our econometric evidence shows that the general index of Italian share-prices and the series of Italy’s financial newspaper sales are cointegrated, and the former series Granger-causes the latter, thereby giving support to the cognitive dissonance hypothesis: (non-professional) agents tend to buy the newspaper when share prices are high and not to buy it when share prices are low. Instead, we do not find support for the hypothesis that the agents acquire information in order to trade in the stock-market: we find no relationship between quantities exchanged in the market and newspaper sales, nor between stock market volatility and newspaper sales.

Date: 2006
New Economics Papers: this item is included in nep-cbe
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Citations: View citations in EconPapers (6)

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Related works:
Journal Article: Acquisition of Information and Share Prices: An Empirical Investigation of Cognitive Dissonance (2010)
Journal Article: Acquisition of Information and Share Prices: An Empirical Investigation of Cognitive Dissonance (2010)
Working Paper: Acquisition of Information and Share Prices: An Empirical Investigation of Cognitive Dissonance (2006)
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Persistent link: https://EconPapers.repec.org/RePEc:eui:euiwps:eco2006/32

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