Financial press and stock markets in times of crisis
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.
|Date of creation:||2012|
|Contact details of provider:|| Postal: Cannaregio, S. Giobbe no 873 , 30121 Venezia|
Web page: http://www.unive.it/dip.economia
More information through EDIRC
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Pritamani, Mahesh & Singal, Vijay, 2001. "Return predictability following large price changes and information releases," Journal of Banking & Finance, Elsevier, vol. 25(4), pages 631-656, April.
- Jordi Mondria & Climent Quintana‐Domeque, 2013.
"Financial Contagion and Attention Allocation,"
Royal Economic Society, vol. 123(568), pages 429-454, 05.
- Jordi Mondria, 2006. "Financial Contagion and Attention Allocation," Working Papers tecipa-254, University of Toronto, Department of Economics.
- Jordi Mondria, 2006. "Financial Contagion and Attention Allocation," 2006 Meeting Papers 177, Society for Economic Dynamics.
- Jordi Mondria & Climent Quintana Domeque, 2012. "Financial contagion and attention allocation," Working Papers. Serie AD 2012-07, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
- Pearce, Douglas K & Roley, V Vance, 1985. "Stock Prices and Economic News," The Journal of Business, University of Chicago Press, vol. 58(1), pages 49-67, January.
- Douglas K. Pearce & V. Vance Roley, 1984. "Stock Prices and Economic News," NBER Working Papers 1296, National Bureau of Economic Research, Inc.
- Cipriani Marco & Guarino Antonio, 2008. "Herd Behavior and Contagion in Financial Markets," The B.E. Journal of Theoretical Economics, De Gruyter, vol. 8(1), pages 1-56, October.
- Marco Cipriani & Antonio Guarino, 2010. "Herd Behavior and Contagion in Financial Markets," Working Papers 2010-01, The George Washington University, Institute for International Economic Policy.
- Barber, Brad M. & Loeffler, Douglas, 1993. "The “Dartboard” Column: Second-Hand Information and Price Pressure," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 28(02), pages 273-284, June.
- Gigerenzer, Gerd & Todd, Peter M. & ABC Research Group,, 2000. "Simple Heuristics That Make Us Smart," OUP Catalogue, Oxford University Press, number 9780195143812.
- Chiang, Thomas C. & Jeon, Bang Nam & Li, Huimin, 2007. "Dynamic correlation analysis of financial contagion: Evidence from Asian markets," Journal of International Money and Finance, Elsevier, vol. 26(7), pages 1206-1228, November.
- Engle, Robert F & Ng, Victor K, 1993. " Measuring and Testing the Impact of News on Volatility," Journal of Finance, American Finance Association, vol. 48(5), pages 1749-1778, December.
- Robert F. Engle & Victor K. Ng, 1991. "Measuring and Testing the Impact of News on Volatility," NBER Working Papers 3681, National Bureau of Economic Research, Inc.
- Engle, Robert, 2002. "Dynamic Conditional Correlation: A Simple Class of Multivariate Generalized Autoregressive Conditional Heteroskedasticity Models," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(3), pages 339-350, July.
- Joshua D. Coval, 2001. "Is Sound Just Noise?," Journal of Finance, American Finance Association, vol. 56(5), pages 1887-1910, October.
- John M. Griffin & Nicholas H. Hirschey & Patrick J. Kelly, 0. "How Important Is the Financial Media in Global Markets?," Review of Financial Studies, Society for Financial Studies, vol. 24(12), pages 3941-3992.
- Kristin J. Forbes & Roberto Rigobon, 2002. "No Contagion, Only Interdependence: Measuring Stock Market Comovements," Journal of Finance, American Finance Association, vol. 57(5), pages 2223-2261, October.
- Kristin Forbes & Roberto Rigobon, 1999. "No Contagion, Only Interdependence: Measuring Stock Market Co-movements," NBER Working Papers 7267, National Bureau of Economic Research, Inc.
- François Longin, 2001. "Extreme Correlation of International Equity Markets," Journal of Finance, American Finance Association, vol. 56(2), pages 649-676, 04.
- Balduzzi, Pierluigi & Elton, Edwin J. & Green, T. Clifton, 2001. "Economic News and Bond Prices: Evidence from the U.S. Treasury Market," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 36(04), pages 523-543, December.
- Jondeau, Eric & Rockinger, Michael, 2006. "The Copula-GARCH model of conditional dependencies: An international stock market application," Journal of International Money and Finance, Elsevier, vol. 25(5), pages 827-853, August.
- Paul C. Tetlock, 2007. "Giving Content to Investor Sentiment: The Role of Media in the Stock Market," Journal of Finance, American Finance Association, vol. 62(3), pages 1139-1168, 06.
- Werner Antweiler & Murray Z. Frank, 2004. "Is All That Talk Just Noise? The Information Content of Internet Stock Message Boards," Journal of Finance, American Finance Association, vol. 59(3), pages 1259-1294, 06.
- Kim, Suk-Joong & Sheen, Jeffrey, 2001. "Minute-by-minute dynamics of the Australian bond futures market in response to new macroeconomic information," Journal of Multinational Financial Management, Elsevier, vol. 11(2), pages 117-137, April.
- Matthew Gentzkow & Jesse M. Shapiro, 2010. "What Drives Media Slant? Evidence From U.S. Daily Newspapers," Econometrica, Econometric Society, vol. 78(1), pages 35-71, 01.
- Matthew Gentzkow & Jesse M. Shapiro, 2006. "What Drives Media Slant? Evidence from U.S. Daily Newspapers," NBER Working Papers 12707, National Bureau of Economic Research, Inc.
- Granger, C W J, 1969. "Investigating Causal Relations by Econometric Models and Cross-Spectral Methods," Econometrica, Econometric Society, vol. 37(3), pages 424-438, July.
- Morris, Stephen & Shin, Hyun Song, 1999. "Risk Management with Interdependent Choice," Oxford Review of Economic Policy, Oxford University Press, vol. 15(3), pages 52-62, Autumn. Full references (including those not matched with items on IDEAS)
When requesting a correction, please mention this item's handle: RePEc:ven:wpaper:2012_04. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Geraldine Ludbrook)
If references are entirely missing, you can add them using this form.