This paper looks at the relationship between negative news and stock markets in times of global crisis, such as the 2008/2009 period. We analysed one year of front page banner headlines of three financial newspapers, the Wall Street Journal, Financial Times, and Il Sole24ore to examine the influence of bad news both on stock market volatility and dynamic correlation. Our results show that the press and markets influenced each other in generating market volatility and in particular, that the Wall Street Journal had a crucial effect both on the volatility and correlation between the US and foreign markets. We also found significant differences between newspapers in their interpretation of the crisis, with the Financial Times being significantly pessimistic even in phases of low market volatility. Our results confirm the reflexive nature of stock markets. When the situation is uncertain and unpredictable, market behaviour may even reflect qualitative, big picture, and subjective information such as streamers in a newspaper, whose economic and informative value is questionable.
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机译:本文着眼于全球危机时期(例如2008/2009年)负面新闻与股市之间的关系。我们分析了《华尔街日报》,《金融时报》和《 Il Sole24ore》这三种金融报纸的头版头条新闻标题,以考察坏消息对股市波动和动态相关性的影响。我们的结果表明,新闻界和市场在产生市场波动方面相互影响,尤其是《华尔街日报》对美国和外国市场之间的波动和相关性均具有至关重要的影响。我们还发现,各报纸在对危机的解释上存在显着差异,即使在市场波动低的阶段,《金融时报》也非常悲观。我们的结果证实了股票市场的反思性。当情况不确定且不可预测时,市场行为甚至可能反映定性,全局和主观信息,例如报纸上的彩带,其经济和信息价值值得怀疑。
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