Did They Just Say That? Cable News, Policy Uncertainty and Market Volatility

44 Pages Posted: 24 Mar 2022 Last revised: 1 Apr 2022

See all articles by Mikael C. Bergbrant

Mikael C. Bergbrant

St. Johns University

Daniel Bradley

University of South Florida

Date Written: March 17, 2022


We capture economic policy uncertainty from mainstream TV cable networks and link it to market volatility. The novelty of our method is that we can identify who is on TV and when the news is delivered. Our measure is correlated with print-based measures of policy uncertainty at the daily level, but contains significant complementary information. Politician total airtime is not related to market volatility, but it is when they discuss policy-related matters. The news network, political party, and party control is related to the volatility reaction. Policy discussion triggers an immediate, intraday volatility response. Finally, aggregated firm-state-level volatility is correlated with home state Governor’s discussion of policy uncertainty.

Keywords: Policy uncertainty; TV media; stock market volatility; economic uncertainty; politics

JEL Classification: P16; G18; L8

Suggested Citation

Bergbrant, Mikael C. and Bradley, Daniel, Did They Just Say That? Cable News, Policy Uncertainty and Market Volatility (March 17, 2022). Available at SSRN: https://ssrn.com/abstract=4059681 or http://dx.doi.org/10.2139/ssrn.4059681

Mikael C. Bergbrant

St. Johns University ( email )

8000 Utopia Parkway
Queens, NY 11439
United States
8134476288 (Phone)

HOME PAGE: http://www.bergbrant.com

Daniel Bradley (Contact Author)

University of South Florida ( email )

Tampa, FL 33620
United States

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