Media Coverage and the Stock Price Bubbles

35 Pages Posted: 21 Mar 2011

Date Written: March 15, 2011

Abstract

This paper uses the intensity of media coverage and trading records of retail investors to investigate the effect of media coverage on stock price bubbles. My analysis is based on a sample of intraday transactions from Chinese stock market and China Core Newspapers Full-text Database. In the first part of the study, I show that media coverage is positively correlated to stock price. In addition I also find that media coverage is positively correlated to the divergence of opinion, which in turn induces the stock price bubbles. In the second part of the study, I measure changes in investor sentiment based on the intraday retail transactions, and evaluate the joint impact of retail investor sentiment and media coverage on stock price bubbles.

Keywords: investor sentiment, stock price bubbles, media coverage

Suggested Citation

Shyu, Howard H., Media Coverage and the Stock Price Bubbles (March 15, 2011). Available at SSRN: https://ssrn.com/abstract=1787346 or http://dx.doi.org/10.2139/ssrn.1787346

Howard H. Shyu (Contact Author)

Sun Yat-Sen University (SYSU) ( email )

135 Xin Gang Xi Road
Guangzhou, Guangdong Province
China

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