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How important is the financial media in global markets?

Journal

Review of Financial Studies

Subject

Finance

Publishing details

Review of Financial Studies 2011 Vol 24:12 p 3941-3992

Authors / Editors

Griffin J M;Hirschey N H;Kelly P J

Publication Year

2011

Abstract

This article studies differences in the information content of 870,000 news announcements in 56 markets around the world. In most developed markets, a firm's stock price moves much more on days with public news about the firm. In contrast, in many emerging markets volatility is similar on news and non-news days. We examine several hypotheses for our findings. Cross-country differences in stock price reactions are best explained by insider trading, followed by differences in the quality of the news dissemination mechanism. Our findings are useful for quantifying the extent of insider trading and how the financial media affects international markets.

Available on ECCH

No


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