财经新闻媒体与波动：除了新闻，报纸还有其他内容吗？

IF 2.1 2区经济学 Q2 BUSINESS, FINANCE

Journal of Financial Markets Pub Date : 2024-02-15 DOI:10.1016/j.finmar.2024.100896

Julian Ashwin

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引用次数: 0

摘要

媒体对一家公司的报道是否会对其股价波动产生因果效应？我发现《金融时报》的报道与公司的日内股价波动性之间存在紧密联系。这种效应并不是由波动的持续性或对未来有新闻价值事件的预期所驱动，而是由交易量的增加所解释的，这支持了对显著性的解释。这种效应会波及与生产网络结构相关的公司，但不会影响波动的总体水平。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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Financial news media and volatility: Is there more to newspapers than news?

Does media coverage of a firm have a causal effect on the volatility of its stock price and, if so, is this of aggregate importance? I identify a robust link between coverage in the Financial Times and a firm’s intraday stock price volatility. This effect is not driven by persistence in volatility or anticipation of future newsworthy events, but is explained by an increase in trading volume, supporting a salience interpretation. The effect spills over into firms related by the structure of the production network, but does not affect the aggregate level of volatility.

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来源期刊

Journal of Financial Markets BUSINESS, FINANCE-

CiteScore

3.40

自引率

3.60%

发文量

期刊介绍： The Journal of Financial Markets publishes high quality original research on applied and theoretical issues related to securities trading and pricing. Area of coverage includes the analysis and design of trading mechanisms, optimal order placement strategies, the role of information in securities markets, financial intermediation as it relates to securities investments - for example, the structure of brokerage and mutual fund industries, and analyses of short and long run horizon price behaviour. The journal strives to maintain a balance between theoretical and empirical work, and aims to provide prompt and constructive reviews to paper submitters.