Mass Media Effects on Trading Activities: Television Broadcasting Evidence from Japan
43 Pages Posted: 19 Dec 2016 Last revised: 21 Apr 2018
Date Written: April 13, 2018
This study examines how information broadcasting through television (TV) media influences stock market activities. Consistent with the effect of TV information to attract investor attention, we find that increased information flow through TV is significantly associated with greater trading volume and larger price change. For information type, hard news from business-oriented programs and earnings-related news strongly contributes to the attention effect, while the effect of soft news is weaker. Bid–ask spread widens for more TV information flows, suggesting that new information arrival in the market expands information asymmetry. Finally, the impact of TV is more influential for stocks with more individual shareholders than those with institutional shareholders.
Keywords: television broadcasting, trading activities, investor attention
JEL Classification: G14, L82
Suggested Citation: Suggested Citation