کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5056229 1371618 2017 12 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Press freedom and jumps in stock prices
ترجمه فارسی عنوان
آزادی مطبوعات و جهش در قیمت سهام
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
چکیده انگلیسی


- The freedom of the press in a country affects the news-returns relationship in the local stock market.
- In countries with a free press, the better processing of bad news leads to more frequent negative jumps in stock prices.
- Stock markets in those countries are characterized by higher jump-induced volatility and more negative return asymmetry.
- We interpret this negative return asymmetry as a good stock market characteristic, because a free press improves welfare and increases economic growth.

Press freedom varies substantially across countries. In a free environment, any news immediately becomes public knowledge through mediums including various electronic media and published materials. However, in an unfree environment, (economic) agents would have more discretionary powers to disclose good news immediately, while hiding bad news or releasing bad news slowly. We argue that this discretion affects stock prices and that stock markets in countries with a free press should be better processors of economic information. Using an equilibrium asset-pricing model in an economy under jump diffusion, we decompose the moments of the returns of international stock markets into a diffusive risk and a jump risk part. Using stock market data for a balanced panel of 50 countries, our results suggest that in countries with a free press, the better processing of bad news leads to more frequent negative jumps in stock prices. As a result, stock markets in those countries are characterized by higher volatility, driven by higher jump risk and more negative return asymmetry. The results are robust to the inclusion of various controls for governance and other country- or market-specific characteristics. We interpret these as good stock market characteristics because a free press improves welfare and increases economic growth.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Economic Systems - Volume 41, Issue 1, March 2017, Pages 151-162
نویسندگان
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