| Market negative rumors will affect companies' stock price.Clarification announcements are often used by public companies to rebut rumors in the case of rumors.The main function of clarification announcement is to clarify the truth in time,in order to avoid the stock price volatility.However,in recent years,the phenomenon so called "clarification announcements make nothing clear" is increasingly common in Chinese stock market.Can clarification announcement effectively respond to market rumors?What factors will influence the effectiveness of clarification?What are the mechanisms of these factors for investors?For the above realistic problems,this paper stands by the perspective of behavioral finance,combines with findings in the field of rumor psychology,and adopts the analytical framework of information Dual-process Theory,carries out an empirical study on issues of rumors and clarifications in the stock market.This study collects 129 clarification announcement samples in Chinese A share stock market from 1998 to 2009,which denied the negative rumors.Event study is used to test of negative rumors impact and clarifications efficiency in stock market.Multiple regression analysis tests the effects of internal and external characteristics to clarification effectiveness.And hierarchical regression approach tests the moderating effect of rumor impact for internal and external characteristics.This research examines the applicability of psychological experiments ' findings in real stock market,and provides strategies for public companies and securities regulatory authorities in coping with market rumors.This paper is divided into seven chapters.The main point of each chapter is following:Chapter I introduces the research background,and elaborates the significance and potential innovations of the research,and briefly describes the research ideas and contents.Chapter II reviews the literature about rumors and clarifications in the field of psychology and finance,and discusses the application of information Dual-processing theory on rumor clarification issues.Chapter III discusses the content of the study and proposes hypothesis.The hypothesis form four aspects are proposed:the impact of negative rumors on stock prices;the market efficiency of clarification;the influence of internal and external characteristics to clarification effectiveness;the moderating effect of rumor impact for internal and external characteristics.Chapter IV describes the collection process of samples,and elaborates on the application of research methods.Chapter V applies event study to test the market reaction to negative rumors and clarification announcements.And classification tests are also conducted based on market characteristics,industry characteristics,sources of rumors and types of rumors.Chapter VI adopts multiple regression analysis to test the relationships of internal and external characteristics and clarification effectiveness,and hierarchical regression approach is used to tests the moderating effects of rumor impact for internal and external characteristics.Chapter VII summarizes the conclusions in general,states shortcomings of the study,and proposes the direction of future research.This study draws the main conclusions as following:First,the research on market reaction to negative rumors and clarification announcement finds that:negative rumors will have a significant impact on stock prices.The rumors release day shows significantly negative abnormal return,and the market reaction has existed before rumors release in the public media.The clarification release day does not show significant market reaction,and still shows underraction after announcement.From the rumors control point of view,clarification announcements do not recover the stock prices to normal levels before the rumors in short period,but show a slow recovery for a long period of time.Second,the research on influence factors of clarification effectiveness finds that:of the internal characteristics,information quality and quantity will have effects on clarification effectiveness.Of the external characteristics,clarification timeliness and legal environment will have effects on clarification effectiveness,while the direct effect of corporate reputation is not significant.Third,the research on the moderating effects of rumor impact finds that:the moderating effects of rumor impact for information quantity,corporate reputation and legal environment are significant.The moderating effects for information quantity and legal environment support the perspective of information Dual-processing Theory,while the moderating effect for reputation is opposed to the theoretical point of view.The result shows that the moderating effects of rumor impact for information quality and clarification timeliness are not significant.This study combines the theory in the field of psychology and finance,and has some exploratory.The value of this research as following:This research focuses on the theme of clarification announcement,and to explore the application of the information Dual-processing Theory in the field of clarification announcement research,which may have some innovations on the research topics and research perspective.In this study,the information Dual-processing Theory is introduced into the microscopic behavior analysis in the field of finance,and applied rumor psychological experiments' findings in exploring rumor clarification issues in real stock market.It may play a role in promoting multi-disciplinary researches integration.This study is established in the context of Chinese securities market.The research on market rumor and clarification announcement may have some practical significance in stability and development of financial markets. |
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