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Financial news media and volatility: Is there more to newspapers than news?

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  • Ashwin, Julian

Abstract

Does media coverage of a firm have a causal effect on the volatility of its stock price and, if so, is this of aggregate importance? I identify a robust link between coverage in the Financial Times and a firm’s intraday stock price volatility. This effect is not driven by persistence in volatility or anticipation of future newsworthy events, but is explained by an increase in trading volume, supporting a salience interpretation. The effect spills over into firms related by the structure of the production network, but does not affect the aggregate level of volatility.

Suggested Citation

  • Ashwin, Julian, 2024. "Financial news media and volatility: Is there more to newspapers than news?," Journal of Financial Markets, Elsevier, vol. 69(C).
    • Handle: RePEc:eee:finmar:v:69:y:2024:i:c:s1386418124000144
    DOI: 10.1016/j.finmar.2024.100896
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    More about this item

    Keywords

    Asset pricing; Volatility; Behavioral finance; News media; Text analysis;
    All these keywords.

    JEL classification:

    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G40 - Financial Economics - - Behavioral Finance - - - General
    • C55 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Large Data Sets: Modeling and Analysis

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