Volatility and Public Information Flows: Evidence from Disclosure and Media Coverage in the Japanese Stock Market

47 Pages Posted: 19 Feb 2013 Last revised: 4 Sep 2017

See all articles by Hiroyuki Aman

Hiroyuki Aman

Kwansei Gakuin University

Hiroshi Moriyasu

Nagasaki University

Date Written: November 27, 2015

Abstract

This study explores the impact of public information flows on the total volatility of stock returns and idiosyncratic volatility (IDV) using corporate disclosures and press media coverage for a broad cross-section of companies in Japan. We argue that firm-released disclosures and news reports released by the press have disparate effects on volatility. Specifically, disclosure information arrivals tend to increase total volatility, consistent with the uncertainty-generating effect, whereas media coverage reduces volatility, consistent with the notion that media reports resolve information uncertainty for firms. For IDV, both types of news tend to mitigate price synchronicity, suggesting that public information flows mainly contribute to the capitalization of firm-specific information on prices overall.

Keywords: total volatility, idiosyncratic volatility, corporate disclosure, media coverage

JEL Classification: G12, G14

Suggested Citation

Aman, Hiroyuki and Moriyasu, Hiroshi, Volatility and Public Information Flows: Evidence from Disclosure and Media Coverage in the Japanese Stock Market (November 27, 2015). Available at SSRN: https://ssrn.com/abstract=2220603 or http://dx.doi.org/10.2139/ssrn.2220603

Hiroyuki Aman (Contact Author)

Kwansei Gakuin University ( email )

Uegahara
Nishinomiya, Hyogo 662-8501
Japan
+81-798-54-6343 (Phone)

Hiroshi Moriyasu

Nagasaki University ( email )

Katafuchi
Nagasaki, 850-8506
Japan

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