The global investigation on the effect of press freedom on country-level idiosyncratic volatility
研究了2002-2021年间50个国家新闻自由对股市特质波动率的影响，发现新闻自由显著降低波动率，且在法治强、腐败低的国家效果更明显。
This paper investigates the impact of press freedom on country-level stock market idiosyncratic volatility across 50 countries during 2002-2021. Using panel regressions, we find that press freedom significantly reduces country-level idiosyncratic volatility across all model specifications, indicating a strong risk-mitigation effect. This negative relationship is strengthened in countries with strong law and order and high non-corruption degree. Additionally, the effect of press freedom is stronger in countries with high press freedom and during non-recession periods. Our results are robust to various model specifications and alternative measures of both idiosyncratic volatility and press freedom. This study contributes to the literature by highlighting the institutional role of press freedom in shaping financial market stability and by providing new insights into how institutional interactions influence market-wide idiosyncratic volatility.