Media effects matter: Macroeconomic announcements in the gold futures market

Abstract

Despite increasing research on firm-specific news, it is unclear how the media affects the assimilation of macroeconomic news by futures markets. To fill this gap, we employ scheduled and non-scheduled macroeconomic announcements, as well as 60,030 instances of macroeconomic news reporting in China, to investigate the media’s role in transmitting macroeconomic news to the gold futures market. We find that macroeconomic announcements, while necessary, may not be sufficient to drive the gold futures market. Meanwhile, the media—as a vital intermediary—is essential for news absorption; the effect is stronger for national and political media. Further, the gold futures market asymmetrically reacts to good and bad news; only reporting on good news can invoke significant market responses. Our findings demonstrate the importance of the information environment cultivated by powerful media in improving the efficiency of financial markets, and help to explain why bad news moves slowly from a media perspective.