VGU RESEARCH REPOSITORY
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https://epub.vgu.edu.vn/handle/dlibvgu/707| Title: | Information flows and media coverage | Authors: | Nguyen Minh Thong | Keywords: | Information flows;Media coverage | Issue Date: | 2018 | Publisher: | Vietnamese-German University | Abstract: | Regulators and participants have long been concerned about informed trading in the market for credit default swaps. This paper attempts to analyze the problem quantitatively. Using news reflected in the stock market as a benchmark for nonpublic information, I find significant flow of information that arrived in the credit market before equity market and this implies that insider trading is prevalent for credit derivative market in Europe. Moreover, information revelation occurs mostly on days with negative shock to CDS market and information flow increases proportionally with the number of daily news papers related to the stock of a specific firm. I find no evidence, however, that the degree of this correlation between information flow and media coverage is significant. |
URI(1): | http://epub.vgu.edu.vn/handle/dlibvgu/707 | Rights: | Attribution-NonCommercial 4.0 International |
| Appears in Collections: | Finance & Accounting (FA) |
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| File | Description | Size | Format | Existing users please Login |
|---|---|---|---|---|
| Information flows & media coverage.pdf | 1.24 MB | Adobe PDF |
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