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The role of media in the credit crunch: The case of the banking sector

Wisniewski, Tomasz Piotr and Lambe, Brendan (2013). The role of media in the credit crunch: The case of the banking sector. Journal of Economic Behavior and Organization, 85 pp. 163–175.

DOI (Digital Object Identifier) Link: https://doi.org/10.1016/j.jebo.2011.10.012
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Abstract

Using a Vector Autoregression framework, this paper investigates the dynamic relationship between the intensity of negative media speculation and the market performance of financial institutions. Evidence is provided that over the sub-prime crisis period pessimistic coverage Granger-caused the returns on banking indices, while causality in the opposite direction proved weaker. These findings may imply that journalists not only report on the state of economic reality, but also play an active role in creating it. Investors acting upon sentiment implicit in media reports would have been able to improve their investment performance, as measured by Sharpe ratios and Jensen's alphas.

Item Type: Journal Item
Copyright Holders: 2011 Elsevier
ISSN: 0167-2681
Keywords: Media; Stock market; Financial crisis; Self-fulfilling prophecies
Academic Unit/School: Faculty of Business and Law (FBL) > Business > Department for Accounting and Finance
Faculty of Business and Law (FBL) > Business
Faculty of Business and Law (FBL)
Item ID: 55383
Depositing User: Tomasz Wisniewski
Date Deposited: 11 Jun 2018 12:34
Last Modified: 08 Dec 2018 10:53
URI: http://oro.open.ac.uk/id/eprint/55383
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