Effect of media freedom on liquidity and information asymmetry: evidence from non-U.S. stocks in the NYSE

While previous studies have mainly explored the impact of media freedom on macroeconomic variables, there is a relative scarcity of research on how media freedom affects stock markets. This paper examines the relationship between media freedom and the liquidity and information asymmetry of non-U.S. stocks listed on the New York Stock Exchange by demonstrating how these factors affect the liquidity dynamics of stocks from countries with varying degrees of media freedom. Ultimately, this study reveals that non-U.S. stocks from countries with limited press freedom experience poorer market liquidity. These conclusions hold even when considering a broader concept, voice and accountability, which includes media freedom, as well as different measures of liquidity and asymmetry, which reaffirms the reliability of the results. Our research illustrates the vital significance of media freedom in enhancing the liquidity of individual company stocks and mitigating market information asymmetry, suggesting that a nation’s press freedom can profoundly influence its stock market performance.