اثرات رسانه های جمعی بر فعالیت های تجاری: مدارک پخش تلویزیونی از ژاپن Mass media effects on trading activities: television broadcasting evidence from Japan

I. Introduction The mass media is widely recognized as a major public information provider. Empirical work on its role in financial markets has recently emerged, seeking to quantify the effect of media coverage, mainly in terms of print media information, like newspapers. Previous research demonstrates that intensive media reporting is significantly related to increased active stock trading and/or pricing. Theoretically, such empirical findings could be explained by investors’ limited cognitive capacity for information. Under limited attention, investors should react significantly to information that attracts their attention. In particular, since individual investors are a class of traders who are more likely to trade under constrained attention than institutional investors are, the effect of mass media on their trading activities could be substantial. In a seminal study, Barber and Odean (2008) provide evidence that more visible information increases more buy orders from individual investors. Some studies find evidence of the attention effect of the print media on trading volume and pricing (e.g. Engelberg and Parsons 2011; Tetlock 2007). Others find that more competing news distracts investors’ attention (DellaVigna and Pollet 2009; Hirshleifer, Lim, and Teoh 2009). The purpose of our study is to explore impacts of the media on trading volume, pricing, and market liquidity empirically, using a comprehensive data set of television (TV) programmes from Japan, which have potentially a wide class of audience, including individuals, among various media types. The type of information that TV conveys can differ from that of the press media because, particularly in our data set, TV has a relatively broader target audience than other information providers, such as newspapers (Engelberg and Parsons 2011). Trading behaviour by individuals has critical implications for good understanding of information processing through mass media in stock markets for various reasons. One is that their capacity to recognize or collect information is more limited than institutional investors, so that, for individuals, news obtained on mass media could more largely affect their trading behaviour (Barber and Odean 2008). Another reason is that individual investors could be typical noise traders who make their trading decisions unreasonably, depending on visible news, so that the price changes temporarily beyond the fundamental value, which creates price pressure on a short-horizon and subsequent return reversal (e.g. Barber and Loeffler 1993; Tetlock 2007).