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VGU RESEARCH REPOSITORY


Please use this identifier to cite or link to this item: 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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