This study utilized Vector Auto-regression method to investigate the impulse response effect. Our empirical results showed that the amount and signal of media coverage have impact on stock return. However, enterprises might release the fake news to attain some purposes. Hence, this study suggests that investors also should pay more attention to the truth of the media coverage while making the investment decisions.
The Eighth International Conference on Innovative Mobile and Internet Services in Ubiquitous Computing ;IMIS-2014)