scholarly journals CEO Exposure, Media Influence, and Stock Returns

2021 ◽  
Vol 29 (6) ◽  
pp. 0-0
Keyword(s):  
Stock Market ◽  
Stock Returns ◽  
Behavioral Finance ◽  
Stock Markets ◽  
Limited Attention ◽  
Media Content ◽  
Media Effect ◽  
Daily Frequency ◽  
The Media ◽  
The Relationship

Media-aware stock movements are well acknowledged by the behavioral finance. As the soul of a firm, CEO’s media behavior is critical to the operation of a firm. CEO’s exposure could have captured the investors’ attention and enhanced the media effect in the stock market in terms of the “eyeball economics”, or CEO’s overexposure could have attracted more attention than firm-specific news, which attenuate the media effect in the stock market due to the investors’ limited attention. This study systematically explores the role and the moderating effect of CEO’s media behavior on the relationship between media content and stock markets. Using daily frequency data for a sample of Chinese stocks, this study shows that higher CEO media exposure attenuates the media effect on stock markets, especially consumer-related stocks.

scholarly journals CEO Exposure, Media Influence, and Stock Returns

2021 ◽  
Vol 29 (6) ◽  
pp. 1-19
Author(s):  
Yan Chen ◽  
Changyu Hu ◽  
Wenjie Zhang ◽  
Qing Li
Keyword(s):  
Stock Market ◽  
Stock Returns ◽  
Behavioral Finance ◽  
Stock Markets ◽  
Limited Attention ◽  
Media Content ◽  
Media Effect ◽  
Daily Frequency ◽  
The Media ◽  
The Relationship

Media-aware stock movements are well acknowledged by the behavioral finance. As the soul of a firm, CEO’s media behavior is critical to the operation of a firm. CEO’s exposure could have captured the investors’ attention and enhanced the media effect in the stock market in terms of the “eyeball economics”, or CEO’s overexposure could have attracted more attention than firm-specific news, which attenuate the media effect in the stock market due to the investors’ limited attention. This study systematically explores the role and the moderating effect of CEO’s media behavior on the relationship between media content and stock markets. Using daily frequency data for a sample of Chinese stocks, this study shows that higher CEO media exposure attenuates the media effect on stock markets, especially consumer-related stocks.

scholarly journals Media Coverage and Stock Return in the Taiwan Stock Market

2015 ◽  
Vol 65 (s2) ◽  
pp. 35-53 ◽  
Author(s):  
Kuei-Yuan Wang ◽  
Chien-Kuo Chen ◽  
Hsiao-Chi Wei
Keyword(s):  
Stock Returns ◽  
Stock Markets ◽  
Media Coverage ◽  
Stock Return ◽  
Investment Decisions ◽  
The Past ◽  
Negative Effect ◽  
The Media ◽  
The Relationship ◽  
Positive Effect

The purposes of this paper were to explore the relationship between media coverage and stock returns in Taiwan stock markets. The empirical results were as follows: (1) stock returns showed causality with either media coverage amounts or the degrees of good/bad media coverage; (2) when impacted by the past stock returns, the stock return might finish its response to the impulse around three days and showed a negative effect, whereas when impacted by the past media coverage amounts, the media coverage amount might also finish its response to the impulse within three day and showed a negative effect; (3) when impacted by the degrees of the past good media coverage, the good media coverage degree might finish its response in three days and showed a negative effect, in which a positive effect might be presented on the first two days, while the effect might turn negative on the third day. Given that, when impacted by the past stock returns, the stock return might finish its response to the impulse within three days and showed a negative effect and, when impacted by the degrees of the past good media coverage, the stock return might also finish its response in three days and showed a negative effect. That is, media coverage could be used as an indicator to predict stock returns in the Taiwan stock markets when making investment decisions.

scholarly journals The Mixture Of Distribution Hypothesis And The Russian Stock Market

2011 ◽  
Vol 1 (11) ◽  
Author(s):  
Giorgio Canarella ◽  
Stephen K. Pollard
Keyword(s):  
Stock Market ◽  
Stock Returns ◽  
Stock Markets ◽  
Economic Planning ◽  
Mixture Of Distributions ◽  
Industrial Countries ◽  
Russian Stock Market ◽  
Mixture Of Distribution Hypothesis ◽  
Flow Of Information ◽  
The Relationship

<p>According to the mixture of distributions hypothesis (MDH), a serially correlated mixture of variables measuring the rate at which information arrives to the market explains the GARCH effects in stock returns. While reasonable amount of empirical evidence supports this hypothesis for developed, highly liquid stock markets in industrial countries, the current literature does not provide much findings for stock markets in countries that have recently experienced the transition from economic planning to capitalism. Hence, the purpose of this paper is to provide a first piece of evidence for one of the newly created stock market, the Russian stock market. Examination of the relationship between risk, returns, volatility and volume existing in the Russian stock market provides evidence in support of the MDH and suggests that even in emerging and turbulent markets risk and returns are jointly integrated to the flow of information arriving to the market.</p>

scholarly journals The Regime-Switching Behaviour of Exchange Rates and Frontier Stock Market Prices in Sub-Saharan Africa

2021 ◽  
Vol 14 (3) ◽  
pp. 122
Author(s):  
Maud Korley ◽  
Evangelos Giouvris
Keyword(s):  
Stock Market ◽  
Stock Markets ◽  
Regime Switching ◽  
Markov Switching ◽  
Sub Saharan Africa ◽  
Var Model ◽  
High Volatility ◽  
Sub Saharan ◽  
The Relationship ◽  
Fx Market

Frontier markets have become increasingly investible, providing diversification opportunities; however, there is very little research (with conflicting results) on the relationship between Foreign Exchange (FX) and frontier stock markets. Understanding this relationship is important for both international investor and policymakers. The Markov-switching Vector Auto Regressive (VAR) model is used to examine the relationship between FX and frontier stock markets. There are two distinct regimes in both the frontier stock market and the FX market: a low-volatility and a high-volatility regime. In contrast with emerging markets characterised by “high volatility/low return”, frontier stock markets provide high (positive) returns in the high-volatility regime. The high-volatility regime is less persistent than the low-volatility regime, contrary to conventional wisdom. The Markov Switching VAR model indicates that the relationship between the FX market and the stock market is regime-dependent. Changes in the stock market have a significant impact on the FX market during both normal (calm) and crisis (turbulent) periods. However, the reverse effect is weak or nonexistent. The stock-oriented model is the prevalent model for Sub-Saharan African (SSA) countries. Irrespective of the regime, there is no relationship between the stock market and the FX market in Cote d’Ivoire. Our results are robust in model selection and degree of comovement.

RESPONSE OF STOCK MARKET DURING COVID-19 AND 2008 FINANCIAL CRISIS: A COMPARATIVE EVIDENCE FROM BRICS NATIONS

2021 ◽  
pp. 1-24
Author(s):  
SANJEEV KUMAR ◽  
JASPREET KAUR ◽  
MOSAB I. TABASH ◽  
DANG K. TRAN ◽  
RAJ S DHANKAR
Keyword(s):  
South Africa ◽  
Financial Crisis ◽  
Stock Market ◽  
Stock Returns ◽  
Stock Markets ◽  
2008 Financial Crisis ◽  
First Case ◽  
Egarch Model ◽  
The 2008 Financial Crisis ◽  
The Impact

This study attempts to examine the response of stock markets amid the COVID-19 pandemic on prominent stock markets of the BRICS nation and compare it with the 2008 financial crisis by employing the GARCH and EGARCH model. First, average and variance of stock returns are tested for differences before and after the pandemic, t-test and F-test were applied. Further, OLS regression was applied to study the impact of COVID-19 on the standard deviation of returns using daily data of total cases, total deaths, and returns of the indices from the date on which the first case was reported till June 2020. Second, GARCH and EGARCH models are employed to compare the impact of COVID-19 and the 2008 financial crisis on the stock market volatility by using the data of respective stock indices for the period 2005–2020. The results suggest that the increasing number of COVID-19 cases and reported death cases hurt stock markets of the five countries except for South Africa in the latter case. The findings of the GARCH and EGARCH model indicate that for India and Russia, the financial crisis of 2008 has caused more stock volatility whereas stock markets of China, Brazil, and South Africa have been more volatile during the COVID-19 pandemic. The study has practical implications for investors, portfolio managers, institutional investors, regulatory institutions, and policymakers as it provides an understanding of stock market behavior in response to a major global crisis and helps them in taking decisions considering the risk of these events.

A quantile regression approach to evaluate the relative impact of global and local factors on the MENA stock markets

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Slah Bahloul ◽  
Nawel Ben Amor
Keyword(s):  
Stock Market ◽  
Quantile Regression ◽  
Stock Returns ◽  
Stock Markets ◽  
Financial Integration ◽  
Ordinary Least Squares ◽  
Market Returns ◽  
Stock Market Returns ◽  
Content Type ◽  
The Impact

PurposeThis paper investigates the relative importance of local macroeconomic and global factors in the explanation of twelve MENA (Middle East and North Africa) stock market returns across the different quantiles in order to determine their degree of international financial integration.Design/methodology/approachThe authors use both ordinary least squares and quantile regressions from January 2007 to January 2018. Quantile regression permits to know how the effects of explanatory variables vary across the different states of the market.FindingsThe results of this paper indicate that the impact of local macroeconomic and global factors differs across the quantiles and markets. Generally, there are wide ranges in degree of international integration and most of MENA stock markets appear to be weakly integrated. This reveals that the portfolio diversification within the stock markets in this region is still beneficial.Originality/valueThis paper is original for two reasons. First, it emphasizes, over a fairly long period, the impact of a large number of macroeconomic and global variables on the MENA stock market returns. Second, it examines if the relative effects of these factors on MENA stock returns vary or not across the market states and MENA countries.

scholarly journals A Note on ‘What Drives Share Prices in the Middle East?’

2008 ◽  
Author(s):  
Panos Priftakis ◽  
M. Ishaq Bhatti
Keyword(s):  
Middle East ◽  
Stock Market ◽  
Stock Returns ◽  
Stock Markets ◽  
Predictive Ability ◽  
Oil Prices ◽  
Unobserved Components ◽  
Market Prices ◽  
Share Prices ◽  
Unobserved Components Model

There are several hypotheses suggesting that some properties of oil prices make it interesting to focus on the predictive ability of oil prices for stock returns. This paper reviews some models recently used in the literature and selects the most suitable one for measuring the relationships and/or linkages of oil prices to the stock markets of the selected five oil producing countries in the Middle East. In particular, the paper uses two methodologies to test for the presence of a cointegrating relationship between the two variables and an unobserved components model to find a relationship between the two variables. The results rejects convincingly that there is no linkage between the prices of oil and the stock market prices in these oil-based economies.  

Aggregate congressional trading and stock market returns

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Serkan Karadas ◽  
Minh Tam Tammy Schlosky ◽  
Joshua C. Hall
Keyword(s):  
Stock Market ◽  
Industrial Production ◽  
Market Returns ◽  
Stock Market Returns ◽  
Content Type ◽  
Macroeconomic Information ◽  
Corporate Insiders ◽  
The Media ◽  
Congressional Trading ◽  
The Relationship

Purpose What information do members of Congress (politicians) use when they trade stocks? The purpose of this paper is to attempt to answer this question by investigating the relationship between an aggregate measure of trading by members of Congress (aggregate congressional trading) and future stock market returns. Design/methodology/approach The authors follow the empirical framework used in academic work on corporate insiders. In particular, they aggregate 61,998 common stock transactions by politicians over the 2004–2010 period and estimate time series regressions at a monthly frequency with heteroskedasticity and autocorrelation robust t-statistics. Findings The authors find that aggregate congressional trading predicts future stock market returns, suggesting that politicians use economy-wide (i.e. macroeconomic) information in their stock trades. The authors also present evidence that aggregate congressional trading is related to the growth rate of industrial production, suggesting that industrial production serves as a potential channel through which aggregate congressional trading predicts future stock market returns. Originality/value To the best of the authors’ knowledge, this study is the first to document a relationship between aggregate congressional trading and stock market returns. The media and scholarly attention on politicians’ trades have mostly focused on the question of whether politicians have superior information on individual firms. The results from this study suggest that politicians’ informational advantage may go beyond individual firms such that they potentially have superior information on the overall trajectory of the economy as well.

Police, Media, and Popular Culture

2017 ◽  
Author(s):  
Alyce McGovern ◽  
Nickie D. Phillips
Keyword(s):  
Reality Television ◽  
Power Dynamics ◽  
Citizen Journalism ◽  
Media Content ◽  
Television Programming ◽  
The Public ◽  
Police Organizations ◽  
The Media ◽  
Media Communications ◽  
The Relationship

The relationship between the police and the media is complex, multidimensional, and contingent. Since the development of modern-day policing, the police and the media have interacted with one another in some way, shape, or form. The relationship has often been described as symbiotic, and can be characterized as ebbing and flowing in terms of the power dynamics that exist. For the police, the media present a powerful opportunity to communicate with the public about crime threats and events, as well as police successes. For the media, crime events make up a significant portion of media content, and access to police sources assists journalists in constructing such content. But the police–media relationship is not always cosy, and at times, tensions and conflicts arise. The increasing professionalization of police media communications activities has further challenged the nature and scope of the police–media relationship. Not only has the relationship become more formalized, driven by police policies and practices that are concerned with managing the media, but it has also been challenged by the very nature of the media. Changes to the media landscape have presented police organizations with a unique opportunity to become media organizations in their own right. The proliferation of police reality television programming, together with the rise of social media, has served to broaden the ways in which the police engage with the media in the pursuit of trust, confidence, and legitimacy; however, this has also opened the police up to increasing scrutiny as citizen journalism and other forms of counterveillance challenge the preferred police image.

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