BACKGROUND: Researchers had tried to measure the correlation between financial news and stock market movement. See Alanyi article attached. However, correlation does not necessary mean causality. Richard Roll (1988), using R2 as a measurement tool, claimed that there is little inter-relationship between the firm's financial news and its effect on R2 value.

INVESTORS AND NEWS: Investors invest with the decision made with all available information concerning the fundamental of the company. It would be an extreme position to take by arguing that there is no relationship between financial news and stock price movement. Suppose that the firm announces, and the announcement is carried through the media, that "the company is considering filing for bankruptcy."  Would such news have an effect on stock price, and if the firm is large enough ---on the market? The experience of Kodak, Kmart, JP Morgan, etc. seems to prove that media content concerning the financial status of the company effects investor's decision whether to buy or sell. Roll's R2 measurement may not be a proper tool for the measurement.

MEASUREMENT EXPERIMENTAL DESIGN: Assume that we want to test whether financial news has an effect on stock prices or market movement. Let us define stock price as a specific response to the news and use the changes in the market index as the indicator for the market movement. Now introduce "financial news" and treat this financial news as the stimuli. The industry or firms concerned with the news is categorized as the treatment group. non-concerned firms or industries are categorized as control group. The measurement target is if there is an effect (price up or down) then score +1, if not then score 0. We may speculate that the data distribution is a Poisson distribution. Significance test whether the financial news has effect on market or stock price movement follows:

R1 = N1 / t1

R2 = N2 / t2

... where R = count rate; N = counts and t = time. The test assumes that the frequencies are equal. The Z-test follows:

Z = (R1 - R2) / sqrt((R1/t1) + (R2/t2))

The null hypothesis assumes that R1 = R2.

The effect of the firms and the effect on the market may also be compared. Using the F-test for two-counts Poisson comparison, thus:

F = A / B

... where A = (1/t1)(N1 + 0.5) and B = (1/t2)(N2 + 0.5). In both groups, the degree of freedom is defined as: df = (2Ni + 1).

This experimental design goes beyond what the Roll article failed to accomplished. R2 or coefficient of determination is not an appropriate test for causality. It measures how well does the data fits the model. Given a set of data, if the researcher select the wrong model, then the R2 analysis would lead to the wrong scoring and, thus, erroneous conclusion.

http://onlinelibrary.wiley.com/doi/10.1111/j.1540-6261.1988.tb04591.x/abstract

Otherwise, I think you can find out new data set and try to find out the causality or lead-lag relationship. then you can document new evidence. 

Yes. But everything depends on the type of media. I made a research in Poland during the last crisis and there were significant relationships (IJMC_11.1). Similiar research was made by Salam Al-Augby & others. There are many methods to make analysis, but I prefer the simplest, because of transparent interpretation.

I have a one article in the process of reviewing concerning journal media coverages and found positive reaction to news coverages after a central bank announcement. Thanks for your reply I will go through your paper.

A financial news or political news always has a performance impact. The impact of the news can then be at a level macro or microeconomic.

Given that the central bank is the authority in charge of monetary policy, the announcement should produce more of a macroeconomic impact.

I would say it does because biasness in media report may cause herding behaviour where uninformed investors may make decisions without looking at the fundamentals in a security price

Media coverage of financial news affect stock market movements, because add information to expectations of investors and common people. The impact depends no the scope of media.

For example, in mergers and acquisitions, media coverage impact of financial news may be very important, and immediate, since the stock market is supposed efficient in a semi-strong form. But if thje media coverage of the news is very low, we are facing an asymmetry of information, and the equilibrium  stock price may be different.

Dear all,

Yes,   type of media (financial news or political news)  affect stock market movements.

Best regards

Though predicting equity markets and stock movements are not easy, equity analysts use many methods and indicators to predict market movements.

These indicators are both fundamental (price-to-earning, or P/E, ratio, price-to-book value, or P/B, ratio, interest rates) and technical (put-call ratio, volumes traded).

http://www.businesstoday.in/moneytoday/investment/predict-stock-markets-shares-movement-invest/story/20321.html

Past research has shown mass media can influence people’s beliefs or behavior in general. Such studies are at least partly behind advertisers’ willingness to pay higher rates to ensure their spots appear in popular newspapers and magazines and on air during time slots when the largest audience is believed to be watching or listening.

Over the years, the media has devoted more and more attention to the stock market and its key players, such as analysts. Recent research shows the media plays an important role both in the stock price formation process and in accounting settings. Such research, however, focuses primarily on firms and not analysts.

http://insight.kellogg.northwestern.edu/article/celebrity_and_the_stock_market

http://citeseerx.ist.psu.edu/viewdoc/download?doi=10.1.1.394.7983&rep=rep1&type=pdf