{"title":"Financial news media and volatility: Is there more to newspapers than news?","authors":"Julian Ashwin","doi":"10.1016/j.finmar.2024.100896","DOIUrl":null,"url":null,"abstract":"<div><p>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 <em>Financial Times</em> 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.</p></div>","PeriodicalId":47899,"journal":{"name":"Journal of Financial Markets","volume":"69 ","pages":"Article 100896"},"PeriodicalIF":2.1000,"publicationDate":"2024-02-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S1386418124000144/pdfft?md5=523b2eef9a18a32236f1ecde1561a241&pid=1-s2.0-S1386418124000144-main.pdf","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Journal of Financial Markets","FirstCategoryId":"96","ListUrlMain":"https://www.sciencedirect.com/science/article/pii/S1386418124000144","RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q2","JCRName":"BUSINESS, FINANCE","Score":null,"Total":0}
引用次数: 0
Abstract
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.
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.
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