Journal of Financial Markets Vol. 69 2024
Financial news media and volatility: Is there more to newspapers than news?
open access
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.
- DOI
- 10.1016/j.finmar.2024.100896
- Volume
- 69
- Pages
- 100896
- Language
- en
- Sources
- crossref openalex