Working Paper: CEPR ID: DP5912
Authors: Elena Argentesi; Helmut Ltkepohl; Massimo Motta
Abstract: This paper deals with the determinants of agents' acquisition of information. Our econometric evidence shows that the general index of Italian share-prices and the series of Italy's financial newspaper sales are cointegrated, and the former series Granger-causes the latter, thereby giving support to the cognitive dissonance hypothesis: (non-professional) agents tend to buy the newspaper when share prices are high and not to buy it when share prices are low. Instead, we do not find support for the hypothesis that the agents acquire information in order to trade in the stock market: we find no relationship between quantities exchanged in the market and newspaper sales, nor between stock market volatility and newspaper sales.
Keywords: behavioral economics; empirical finance; newspapers; time series econometrics
JEL Codes: D80; G10
Edges that are evidenced by causal inference methods are in orange, and the rest are in light blue.
| Cause | Effect |
|---|---|
| Stock market volatility (G17) | Newspaper sales (M31) |
| Trading volumes (G10) | Newspaper sales (M31) |
| Stock market index (G10) | Newspaper sales (M31) |
| Newspaper sales (M31) | Stock market index (G10) |