Empirical Research On The Impact Of Rumors On The Stock Prices

In recent years, the problem of internet rumors becomes more serious and the most typical representative is the case of "Qin Huohuo", which is called "the first case of internet rumors". Rumors are unbridled spread in the network, affecting every aspect of people’s lives. If the rumor makers just transfer rumors on the network media, we can suppose that their purposes are only to obtain high popularity and attention. However, if the rumors are spread around the stock market, the vital interests of the investors and related companies will be affected, and the purpose of the rumor makers are not just to win the eye, but to gain greater profit opportunities. Whether we can effectively curb the spread of rumors, and how the regulatory agency and related company effectively and rapidly governance the rumors when rumors appear in the stock market, have become a top priority. Currently there is little research about rumor information on the stock market, and the focus of current limited study is the impact of spreading rumors on related company’s stock price. And the researches of contradict rumors are bulletin relatively empty. Therefore, the study of the offset effect of contradict rumors has important theoretical and practical meaning.Firstly, this paper makes a list about the research of domestic and abroad definition of rumor, causes, modes of transmission, and the way rumors affect the public, and preliminary states the basic features of the effects of rumors on stock price. Then, this paper analyzes the basic reasons that rumors affect stock price from the theoretical level. Subsequently, this paper uses the rumors and the information of refuting rumors from January 1, 2009 to December 31, 2013 as samples. And then select the dates of rumor spreading and the release dates of announcements which clarifying the rumors as event day, using event study to verify the impact of spreading the rumors and refuting the rumors on the stock return. Finally, through the compilation of the announcements, this paper uses stepwise regression method to study the offsetting effect of the announcement on rumor information. The results show that: rumors and the announcement of clarifying the rumors significantly influence stock abnormal return value, and the influence differs depending on the property and authenticity of rumors; in the announcement of clarifying the rumors, four points, which are the years rumors appeared, the content of rumors, the words of announcements, and whether there are other reasons for the suspension have significant impact on the offset ability of announcements on rumor information.According to the findings, this paper explains the impact of rumors on the stock prices and analyzes the information influence in announcements based on the regression results. Finally, this paper introduces some related suggestions to decrease the influence of rumors on stock price.