Three IGF Staff have recently published a paper in the Journal of Financial Economics. The Journal of Financial Economics is one of the top three journals in the finance area.
The title of this new publication is:
“Commonality in News around the World”
The authors include:
Professor Fariborz Moshirian, Director of IGF
Dr. Bohui Zhang, IGF Associate Researcher
Dr. Tung Lam Dang, IGF Post-Doctorate Student
The article focused on news commonality, institutional environments, stock return co-movement, and stock liquidity commonality.
The Abstract of the article is as follows:
Abstract
Motivated by the pioneering study of Morck, Yeung, and Yu (2000), this paper investigates whether and how news commonality varies according to a country’s institutional environments. Using a unique global news dataset across 41 countries for the 2000-2009 period, we document three notable findings. First, firm-level news co-moves more in countries with weaker institutional environments than in those with stronger institutional environments. Second, news commonality is positively associated with both stock return co-movement and stock liquidity commonality. Third, the effect of news commonality on stock return and liquidity co-movement is higher in countries with stronger institutions than in those with weaker institutions. These results suggest that a country’s institutional environments affect firm-specific information production and, more importantly, support the information-efficiency view that lower price synchronicity is caused by greater capitalization of firm-specific information.
The full text of this article will be available soon.