THE JOURNAL OF FINANCE · VOL. LXIX, NO. 5 · OCTOBER 2014

媒體與信息在金融市場的擴散：來自報業罷工的證據

作者：Joel Peress (INSEAD - Finance)

摘要：媒體逐漸被視作金融市場的主要參與者。本文通過調查幾個國家的全國性報紙罷工，研究媒體對交易和價格形成的因果影響。罷工當日交易量下降12%。股票收益的離散度及日内波動率減少了7%，而總收益不受影響。此外，對收益可預測性的分析表明，報紙從前一日就開始傳播消息。這些發現表明，媒體通過促進信息在投資者中的傳播并将其納入股價有助于提高證券市場的有效性。

關鍵詞： 信息擴散，媒體，注意，市場效率

The Media and the Diffusion of Information in Financial Markets: Evidence from Newspaper Strikes

Joel Peress (INSEAD - Finance)

ABSTRACT

The media are increasingly recognized as key players in financial markets. I investigate their causal impact on trading and price formation by examining national newspaper strikes in several countries. Trading volume falls 12% on strike days. The dispersion of stock returns and their intraday volatility are reduced by 7%, while aggregate returns are unaffected. Moreover, analysis of return predictability indicates that newspapers propagate news from the previous day. These findings demonstrate that the media contribute to the efficiency of the stock market by improving the dissemination of information among investors and its incorporation into stock prices.

Keywords: Information diffusion, Media, Attention, Market Efficiency

原文鍊接：

http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2026460

翻譯：任兆月