Research On Market Reaction Before Clarification Rumors Of Listed Companies

Listed companies of China's stock market have been rumors,which will cause the market reaction,stock prices and turnover fluctuations.In accordance with the provisions of the SEC,listed companies must issue announcement to clarification of the rumor.Insider trading of China's stock market prevails.Some informed investors have been known the content before clarification announcement.They buy or sell before the release the clarification announcement to obtain abnormal returns.The stock price and turnover before clarification announcement have obvious reaction.Are these observed phenomena supported by empirical results?This paper uses the event study method,adopting 879 clarifying rumors of listed companies from July 1,2014 to June 30,2017 as the research sample to study the market reaction before announcement.The research results show that,average abnormal returns before announcement with positive degree of rumors is positively related,average abnormal returns before announcement with clarifying speed of good news is positively related,average abnormal turnover before announcement with clarifying speed of good news is positively related,average abnormal turnover before announcement with clarifying attitude of good news is negatively related.Insider trading theory can explain the empirical results of this paper.This paper enriches and develops the existing literature from the perspective of clarifying rumor before announcement,average abnormal turnover rate,and clarifying speed,and puts forward some corresponding policy suggestions.According to the conclusion,this paper puts forward policy recommendations from listed companies,regulatory authorities and investors.Listed companies should strictly control the scope of the spread of insider information and reduce the probability of insider trading.Regulatory authorities should regulate the procedures and accountability requirements of insider information transfer,especially to strengthen insider trading attacks caused by market rumors.Investors should not participate in insider trading,but can improve the investment strategy in the market according to the public information.