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

媒体与信息在金融市场的扩散：来自报业罢工的证据

作者：Joel Peress (INSEAD - Finance)

摘要：媒体逐渐被视作金融市场的主要参与者。本文通过调查几个国家的全国性报纸罢工，研究媒体对交易和价格形成的因果影响。罢工当日交易量下降12%。股票收益的离散度及日内波动率减少了7%，而总收益不受影响。此外，对收益可预测性的分析表明，报纸从前一日就开始传播消息。这些发现表明，媒体通过促进信息在投资者中的传播并将其纳入股价有助于提高证券市场的有效性。

关键词： 信息扩散，媒体，注意，市场效率

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

原文链接：

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

翻译：任兆月