An empirical research on the effect of mass media on stock market

• Project/Area Number: 20730213
• Research Category: Grant-in-Aid for Young Scientists (B)
• Allocation Type: Single-year Grants
• Research Field: Public finance/Monetary economics
• Research Institution: Nagasaki University
• Principal Investigator: AMAN Hiroyuki Nagasaki University, 経済学部, 准教授 (70346906)
• Project Period (FY): 2008 – 2010
• Project Status: Completed (Fiscal Year 2010)
• Budget Amount: ¥4,030,000 (Direct Cost: ¥3,100,000、Indirect Cost: ¥930,000); Fiscal Year 2010: ¥910,000 (Direct Cost: ¥700,000、Indirect Cost: ¥210,000); Fiscal Year 2009: ¥1,300,000 (Direct Cost: ¥1,000,000、Indirect Cost: ¥300,000); Fiscal Year 2008: ¥1,820,000 (Direct Cost: ¥1,400,000、Indirect Cost: ¥420,000)
• Keywords: ファイナンス / 金融論 / 株式市場

Research Abstract

In this study, I empirically examined that the frequency and concentration of media coverage on newspapers prompt the extremely large fall of stock price (crash). This evidence shows that the intermediation of information via mass media is likely to enhance the rapid reflection of corporate information over short interval. The research was presented as "An Empirical Analysis of the Effect of Media Coverage on Stock Price Crashes : Evidence from Japan" in domestic and international conferences.

Research Products

• [Journal Article] Firm-specific volatility of stock returns, the credibility of management forecasts, and media coverage : Evidence from Japanese firms (2011)
  • Author(s): Hiroyuki Aman
  • Journal Title: Japan and the World Economy Vol23(1) Pages: 28-39
  • Peer Reviewed
• [Journal Article] Firm-specific volatility of stock returns, the credibility of management forecasts, and media coverage : Evidence from Japanese firms (2011)
  • Author(s): Hiroyuki Aman
  • Journal Title: Japan and the World Economy Volume: Vol 23(1) Pages: 28-39
  • Peer Reviewed
• [Presentation] An Empirical Analysis of the Effect of Media Coverage on Stock Price Crashes : Evidence from Japan (2010)
  • Author(s): Hiroyuki Aman
  • Organizer: 日本経営財務研究学会西日本部会
  • Place of Presentation: 甲南大学
  • Year and Date: 2010-07-24
• [Presentation] An Empirical Analysis of the Effect of Media Coverage on Stock Price Crashes : Evidence from Japan (2010)
  • Author(s): Hiroyuki Aman
  • Organizer: Asian Finance Association
  • Place of Presentation: Hong Kong University of Science and Technology
  • Year and Date: 2010-06-30
• [Presentation] An Empirical Analysis of the Effect of Media Coverage on Stock Price Crashes : Evidence from Japan (2010)
  • Author(s): Hiroyuki Aman
  • Organizer: Asian Finance Association 2010
  • Place of Presentation: 香港科学技術大学
  • Year and Date: 2010-06-30
• [Presentation] An Empirical Analysis of the Effect of Media Coverage on Stock Price Crashes : Evidence from Japan (2010)
  • Author(s): Hiroyuki Aman
  • Organizer: 日本金融学会春季大会
  • Place of Presentation: 中央大学
  • Year and Date: 2010-05-15
• [Presentation] Firm-specific volatility of stock returns, the credibility of management forecasts, and media coverage : Evidence from Japanese firms (2008)
  • Author(s): Hiroyuki Aman
  • Organizer: The 2008 International Conference on Business and Information
  • Place of Presentation: South Korea, JW Marriott Hotel Seoul
  • Year and Date: 2008-07-09
• [Presentation] Firm-specific volatility of stock returns, the credibility of management forecasts, and media coverage : Evidence from Japanese firms (2008)
  • Author(s): Hiroyuki Aman
  • Organizer: 日本応用経済学会春季大会
  • Place of Presentation: 熊本学園大学
  • Year and Date: 2008-06-08
• [Presentation] Firm-specific volatility of stock returns, the credibility of management forecasts, and media coverage : Evidence from Japanese firms (2008)
  • Author(s): Hiroyuki Aman
  • Organizer: 日本金融学会春季大会
  • Place of Presentation: 成城大学
  • Year and Date: 2008-05-18