Media tone and trading activity on the Sydney Stock Exchange 1901–1950

We examine how media reports influenced trading volumes and order imbalances on the Sydney Stock Exchange (SSX) from 1901 to 1950, focusing on wool market reports as a substitute for broader financial advice in the absence of a specialised investment press. Given wool's status as Australia's primary export and its integration with various sectors, we construct a weekly media sentiment index based on news about wool sales and auctions from the Sydney Morning Herald. Our findings reveal that positive news about the wool market correlates with increased trading volumes and reduced order imbalances on the SSX. This relationship persisted during significant events such as the UK government's wool purchase plans, the 1929 Wall Street Crash, World War II-related trading restrictions, and the short selling ban.