Mass Media Coverage And Stock Market Performance In Taiwan

Mass media,such as TV and newspapers,which has a lot of audiences,plays an important role in disseminating information especially for individual investors.In recent years,interest in the relation between mass media and the market has been on the rise among practitioners and researches.Tetlock,Saar-Tsechansky,and Macskassy(2007),Klibanoff,Lamont,and Wizman(1998),Tetlock(2007)are examples of the this growing literatures.Based on the headlines,media emotion and word frequency,these paper argue that although the news are not first-hand information,they did helped a lot in spreading it.Typically,most former studies focused on English and paper related media,but very few of them touched the Chinese and TV media type.Based on a Taiwan financial TV show,called "Money 100",which has a high audience rate,we used the draft of the show dated from 2014-09 to 2015-06 as our raw database.Then we implement event-study and text-mining to analyze the relation between the mass media and the stock market with respect to trading volume,liquidity and abnormal return.From an industry point of view,we find that the change between trading volume,liquidity and the abnormal return before and after the media coverage are not statistically significant.The abnormal return is well captured by the Carhart 4 Factor Model.Mover,from an individual stocks' perspective,most the stocks covered by the media are glamour stocks,and the changes between trading volume and liquidity before and after the show are statistically significant.We also make use of Neuro Network and information uncertainty index then find that when analysts on the show are certain about some stocks,the abnormal return of this kind would then disappear,but when analysts on the show are uncertain about some stocks,the abnormal return of this kind would persist for some days.This paper not only contributes to the study of relation between mass media and stock market,but also add empirical evidence to the Market-Efficiency study.And this may prove useful for individual investors to make portfolio assignment.