Mirror or Molder? A Study of Media Coverage, Stock Prices, and Trading Volumes in Germany.
Journal of Communication, 61, 48-70. doi: 10.1111/j.1460-2466.2010.01526.x
|Publikationsart:||Beiträge in Fachzeitschriften|
This paper investigates the short-term relationship between media coverage and stock prices as well as trading volumes of eight listed German companies. Research interest does not focus on media effects on individual investors (micro-level), but on stock prices and trading volumes (macro-level). (1) A content analysis of reports from financial websites, newspapers, and television shows about the selected companies and (2) a secondary analysis of the daily changes of closing prices and the trading volumes of these companies were combined in a time-series design. The time-series based on trading days. After ARIMA-modeling each of them, cross-lagged correlations between media time-series and stock time-series were computed. Since the study compares correlation patterns under different conditions, the concept of middle range theories is taken seriously. The results suggest that media coverage rather reflects than shapes the development at stock exchanges from a short-term perspective (two months). There were almost no hints for a widespread media effect, that is an impact on so many investors that it will result in a measurable change of stock prices or trading volumes.