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The Chinese Media Effect in Bull and Bear Markets

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  • Tzu-Lun Huang

Abstract

Current studies on the media effect fail to reach a consistent conclusion in a global setting. Lacking independence and highly controlled, the media functions differently in China and exerts unexpected influences on capital markets. Focusing on listed companies in China, the author analyzes the media effect on stock returns and further considers market states. Using a comprehensive database on firm-related news stories, stocks with high media coverage are found to possess higher stock returns, Jensen's alphas, and Daniel et al. [1997] adjusted returns over the 2007–2014 sample period. Moreover, the media effect is stronger in bull markets than in bear markets. The result is robust to model settings, alternative definitions of market states, estimation methods, portfolio formation, and sample selection. The study contributes to the literature by advancing the understanding of the Chinese media effect in bull and bear markets.

Suggested Citation

  • Tzu-Lun Huang, 2019. "The Chinese Media Effect in Bull and Bear Markets," Journal of Behavioral Finance, Taylor & Francis Journals, vol. 20(3), pages 369-383, July.
    • Handle: RePEc:taf:hbhfxx:v:20:y:2019:i:3:p:369-383
    DOI: 10.1080/15427560.2018.1513405
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    Cited by:

    1. Xu, Yongan & Liang, Chao & Wang, Jianqiong, 2023. "Financial stress and returns predictability: Fresh evidence from China," Pacific-Basin Finance Journal, Elsevier, vol. 78(C).
    2. Yongan Xu & Jianqiong Wang & Zhonglu Chen & Chao Liang, 2023. "Sentiment indices and stock returns: Evidence from China," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 28(1), pages 1063-1080, January.

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