Media attention and the volatility effect

Blitz, David; Huisman, Rob; Swinkels, Laurens; Vliet, Pim van

doi:10.1016/j.frl.2019.101317

Cited by 16 publications

(7 citation statements)

References 31 publications

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“…One aspect that is directly affected by media coverage is investor sentiment and behaviour in the capital market (Blitz et al, 2020;Haroon & Rizvi, 2020;Jiao & Walther, 2016;Potter, 2017;Qader & Bin Zainuddin, 2011;Slater & Rasinski, 2005;Strycharz et al, 2018;Yörük, 2012). This research has supported previous research such as Cepoi (2020) and Tan (2021b), which explained that public sentiment, especially investors, to the news of the COVID-19 pandemic negatively affected price movements and stock returns in the capital market.…”

Section: Discussionsupporting

confidence: 84%

Unmasking the Effect of News Media on Islamic Stock Market: Are ASEAN-3 Countries Vulnerable to Covid-19 News?

Rahmi

Fatwa

Maulana

2023

Shirkah

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This study provides a novel viewpoint by clarifying the effect of the COVID-19 news on the fluctuations of the Islamic capital market in the ASEAN Region. It aims to explore the effect of news related to the COVID-19 pandemic on the movement of the Islamic stock index in ASEAN-3 countries (Indonesia, Malaysia, Thailand). This research examined five news-related indices: panic emotion index, media hype index, sentiment index, fake news index, and contagion index. The research employed long-term daily secondary data covering one year during the COVID-19 pandemic to test the hypothesis. A total of 1086 data were analyzed using the panel regression method through EViews 9. The findings indicated that news media and the resulting sentiment have the potential to negatively affect the Islamic stock index movement through the panic and media hype index. The excitement and panic caused by the online news media negatively affected the movement of Islamic stock prices in the three ASEAN Islamic stock indexes, whereas fake news and contagion index were found to have no significant effect on the stock index movement.

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Section: Discussionsupporting

confidence: 84%

Unmasking the Effect of News Media on Islamic Stock Market: Are ASEAN-3 Countries Vulnerable to Covid-19 News?

Rahmi

Fatwa

Maulana

2023

Shirkah

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“…The media coverage index calculates the percentage of all news sources covering the topic of the novel coronavirus. Blitz et al, (2020), Cepoi (2020), Shi & Ho (2020), Smales (2014a) use the data in their studies to examine the link between news and implied volatility or stock market returns. These indices are used as a proxy and the detailed description of each variable is given in the Appendix.…”

Section: Datamentioning

confidence: 99%

The Impact of News about Pandemic on Borsa Istanbul during the COVID-19 Financial Turmoil

Tan

2021

Türkiye İletişim Araştırmaları Dergisi

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The COVID-19 pandemic, which emerged in December 2019 and then spread worldwide, has affected not only economic and social life but also the financial markets. It has left investors greatly panicked and affected their decisions. In this study, the effect of COVID-19 related news on Borsa Istanbul is analyzed using the panel quantile regression method. The study period is set between 10 March 2020 and 17 April 2020. The panic index, media hype index, fake news index, country sentiment index, infodemic index, and media coverage index created by the RavenPack data platform are used for the analysis. The impact of news, it was found, varies amongst the quantiles, and there exists an asymmetric dependence between the returns of Borsa Istanbul and COVID-19 related news. More efficient communication channels, the results indicate, should be used to alleviate the financial turmoil caused by

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“…This data analytics platform provides the latest information about panic, sentiment and misinformation regarding coronavirus measures. The platform has a country-specific media hype index, fake news index, country sentiment index, infodemic index and media coverage index (Blitz et al, 2020;Cepoi, 2020;Shi & Ho, 2020;Smales, 2014a). The description of each index is given in the appendix.…”

Section: Data Collectionmentioning

confidence: 99%

The Effect of Pandemic News on Stock Market Returns During the Covid-19 Crash: Evidence from International Markets

Tan¹

2021

connectist

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This study investigates the effect of pandemic-related news on stock market returns in international markets using the quantile regression method. The media hype index, fake news index, country sentiment index, infodemic index, and media coverage index provided by the RavenPack data platform are used for the analysis. In this research, 2,996 observations from 80 countries, consisting of daily data from January 22, 2020, to April 17, 2020, were used. The results show that the impact of Covid-19-related news on market returns varies among the quantiles of the stock market; in other words, there is an asymmetric dependency between the news and financial markets. With the increase in coverage about the pandemic in the media, the negative impact on market returns exhibits a decreasing trend from low quantiles to high quantiles. More intense use of effective communication channels is required to alleviate the financial crash caused by Covid-19. To capture the effect of the news on financial markets, this analysis also categorized countries according to the Morgan Stanley Classification Index (MSCI, n.d.), such as by developed, emerging, standalone, and frontier markets and by geographical location, including Europe, Africa, North and South America, Asia, and the Middle East. The results are consistent with the previous findings and the dependency between the news and financial markets remains asymmetric.

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Media attention and the volatility effect

Cited by 16 publications

References 31 publications

Unmasking the Effect of News Media on Islamic Stock Market: Are ASEAN-3 Countries Vulnerable to Covid-19 News?

Unmasking the Effect of News Media on Islamic Stock Market: Are ASEAN-3 Countries Vulnerable to Covid-19 News?

The Impact of News about Pandemic on Borsa Istanbul during the COVID-19 Financial Turmoil

The Effect of Pandemic News on Stock Market Returns During the Covid-19 Crash: Evidence from International Markets

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