Research On Market Reaction Of Rumors And Rumors In China's Securities Market

This paper studies the respond of the share prices to "market rumours" and"clarification announcement" on Chinese Security Markets.Besides,this paper analyzes the influence of investors ' attention to "the effect of rumor spread" and "the effect of rumor clarifications".In order to study the respond of Chinese Security Markets to the spread of rumor and the clarification of rumor,we look through all clarification announcements of all listed companies on the Shanghai Stock Exchange Web site and the Shenzhen Stock Exchange Web site from January 1,2014 to December 1,2015.Eventually,we pick out 104 clarification announcement as a sample.We determine "the date of rumor spreading" and "the date of rumor clarification" as "the date of study event" using Event study methodology.And this paper calculates the abnormal returns of all stock in rumor at the date of event and on the observation window using the "market model".And we take significance tests.Empirical results show that the rumor affects the price of stock involved rumors.Good rumors make stock with positive abnormal returns and bad rumor can make stock with negative abnormal returns.And good rumors lead to more significant impact.Relative to the rumor spread,the effect of rumor clarifications is not significant no matter good rumor or bad rumor.This may be due to the relatively late starting of China's securities market.Its development is not perfect.And investors generally lack confidence on the regulators and companies.In addition,we test the correlation between "investor's attention" level and "the effect of rumor spread" and the correlation between "investor's attention" level and"the effect of rumor clarifications" by using multiple regression model.It finds that the stronger investor attention makes the stronger share price impact of the rumors.But there is not significant correlation between "investor's attention" level and "the effect of rumor clarifications".