How Important Is the Financial Media in Global Markets?

• 成果类型: Article
• 署名作者: Griffin, John M.; Hirschey, Nicholas H.; Kelly, Patrick J.
• 署名单位: University of Texas System; University of Texas Austin; State University System of Florida; University of South Florida; New Economic School
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhr099
• 发表日期: 2011
• 页码: 3941
• 关键词: ANNUAL EARNINGS ANNOUNCEMENTS; INSIDER TRADING LAWS; INFORMATION; price; news; liquidity

摘要

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.