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Financial press and stock markets in times of crisis

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Author Info

  • Roberto Casarin

    ()
    (Department of Economics, University of Venice Cà Foscari)

  • Flaminio Squazzoni

    (Department of Social Studies, University of Brescia)

Abstract

This paper investigates the relationship between negative news in financial newspapers and stock markets in times of global crisis, such as the 2008/2009 period. We analysed one year of front page banner headlines of three financial newspapers, such as the Wall Street Journal, Financial Times, and Il Sole24ore and created an index of bad news at a daily base. We examined the influence of bad news both on market volatility and dynamic correlation of American, Britain and Italian stock markets to look at the impact of bad news on global investment strategies. Our results show that press and markets co-influenced each other in generating market volatility. The three newspapers showed significant differences in their stance on the crisis, with Financial Times more pessimistic. Our results also show that Wall Street Journal bad news had higher predictability value for the correlation between US and the foreign markets. This confirms the international influence of Wall Street Journal.

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File URL: http://www.unive.it/media/allegato/DIP/Economia/Working_papers/Working_papers_2012/WP_DSE_casarin_squazzoni_04_12.pdf
File Function: First version, 2012
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Bibliographic Info

Paper provided by Department of Economics, University of Venice "Ca' Foscari" in its series Working Papers with number 2012_04.

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Length: 25 pages
Date of creation: 2012
Date of revision:
Handle: RePEc:ven:wpaper:2012_04

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Related research

Keywords: 2008/2009 financial crisis; financial press; bad news; market volatility; dynamic correlation; Wall Street Journal; pessimism.;

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References

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Cited by:
  1. Matija Pi\v{s}korec & Nino Antulov-Fantulin & Petra Kralj Novak & Igor Mozeti\v{c} & Miha Gr\v{c}ar & Irena Vodenska & Tomislav \v{S}muc, 2014. "News Cohesiveness: an Indicator of Systemic Risk in Financial Markets," Papers 1402.3483, arXiv.org.

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