Quantifying the Correlation of Media Coverage and Stock Price Crash Risk: A Panel Study From China
Forthcoming, Physica A: Statistical Mechanics and its Applications
18 Pages Posted: 24 Sep 2019
Date Written: August 12, 2019
In this paper, we explore the correlation between media coverage and stock price crash risk of all the listed stocks in China stock market. Particularly, we utilize the news report frequencies, sourcing from traditional media (TMC) and Internet media (IMC), as proxies for media coverages and investigate their correlations with stock price crash risk under panel regression models. We find that TMC is positively related to stock price crash risk one year after, indicating that prior rise of TMC would be a red alert for future price drop. While, no significant coefficients are detected with IMC, showing that IMC are of no influence with future stock price crash risk. We also perform the robustness check with other stock price crash risk measurement proxy, and the results are in line with those of the original study.
Keywords: Internet media; Traditional media; Stock price crash risk; Chinese stock market
JEL Classification: G12; G14
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