Media tone and trading activity on the Sydney Stock Exchange 1901-1950

Grant Fleming; Zhangxin Frank Liu; David Merrett; Simon Ville

doi:10.1017/S0968565024000040

Media tone and trading activity on the Sydney Stock Exchange 1901-1950

Grant Fleming, Zhangxin Frank Liu, David Merrett, Simon Ville

Accounting and Finance

Research output: Contribution to journal › Article › peer-review

Abstract

We examine how media reports influenced trading volumes and order imbalances on the Sydney Stock Exchange (SSX) from 1901 to 1950, focusing on wool market reports as a substitute for broader financial advice in the absence of a specialised investment press. Given wool's status as Australia's primary export and its integration with various sectors, we construct a weekly media sentiment index based on news about wool sales and auctions from the Sydney Morning Herald. Our findings reveal that positive news about the wool market correlates with increased trading volumes and reduced order imbalances on the SSX. This relationship persisted during significant events such as the UK government's wool purchase plans, the 1929 Wall Street Crash, World War II-related trading restrictions, and the short selling ban.

Original language	English
Pages (from-to)	36-66
Number of pages	31
Journal	Financial History Review
Volume	31
Issue number	1
DOIs	https://doi.org/10.1017/S0968565024000040
Publication status	Published - Apr 2024

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10.1017/S0968565024000040Licence: CC BY

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title = "Media tone and trading activity on the Sydney Stock Exchange 1901-1950",

abstract = "We examine how media reports influenced trading volumes and order imbalances on the Sydney Stock Exchange (SSX) from 1901 to 1950, focusing on wool market reports as a substitute for broader financial advice in the absence of a specialised investment press. Given wool's status as Australia's primary export and its integration with various sectors, we construct a weekly media sentiment index based on news about wool sales and auctions from the Sydney Morning Herald. Our findings reveal that positive news about the wool market correlates with increased trading volumes and reduced order imbalances on the SSX. This relationship persisted during significant events such as the UK government's wool purchase plans, the 1929 Wall Street Crash, World War II-related trading restrictions, and the short selling ban.",

keywords = "media sentiment, media tone, Sydney Stock Exchange, trading volume, wool market",

author = "Grant Fleming and Liu, {Zhangxin Frank} and David Merrett and Simon Ville",

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AB - We examine how media reports influenced trading volumes and order imbalances on the Sydney Stock Exchange (SSX) from 1901 to 1950, focusing on wool market reports as a substitute for broader financial advice in the absence of a specialised investment press. Given wool's status as Australia's primary export and its integration with various sectors, we construct a weekly media sentiment index based on news about wool sales and auctions from the Sydney Morning Herald. Our findings reveal that positive news about the wool market correlates with increased trading volumes and reduced order imbalances on the SSX. This relationship persisted during significant events such as the UK government's wool purchase plans, the 1929 Wall Street Crash, World War II-related trading restrictions, and the short selling ban.

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Media tone and trading activity on the Sydney Stock Exchange 1901-1950

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