The Study Of The Impact Of The Rumors To The Stock Price Of Public Companies

The stock market is a mutual game market formed by fundamental, news andcapital. This paper will focus on the news,say more specifically, it will focus on thenews that have the uncertain nature. Say more popularly”soft information” whichinclude all of the nonstandard written announcement. As the development of ourcountry’s stock market is shorter, the investor mainly consists of the small andmedium-sized retail investors. Just the limitations of professional knowledge, theinvestment decisions depend on the information circulating on the market. Due to theinvestors’ irrational, seemingly a message, can often bring a big influence to the market.Recent years, stock market is full of the rumors, as a breakthrough point, thispaper will study the rumors which the company have clarified, these rumors inevitablyhave the attentions of the investors. So I read the clarification announcement of thepublic company from the website of Shanghai stock exchange and Shenzhen stockexchange since2013. Start from the perspective of the behavior finance, supplementedby event study method and multiple regression analysis to in-depth research.Four aspects will be studied:First, based on the behavior finance theory knowledge, the rumors and the impactof stock’s price mechanism will be discussed. Mainly from three aspects ofcharacteristics of human nature, the investors’ cognitive biases, limited attention andbounded rationality. In the study, we found that th at the time of access to information,investors’ attention is limited, and because of the particularity of Chinese stock market’sconsist of, individual investors accounted for the proportion, so it may more susceptibleto the influence of rumors on the market, this conclusion, the empirical results provide atheoretical basis for us.Second, we used event analysis method to demonstrate the negative rumors to theimpact of the company’s stock price. We picked the rumors which the pulic companieshave clarified as our sample data, measured in abnormal return to explain the rumors onthe fluctuation of the stock price, and through the T test to prove that the rumors aboutthe influence of stock price effect is significant. The research results indicate that, inChina’s stock market, the stock price of public companies affected by the rumorsoccurring during the period of the cumulative abnormal return is negative. Third, use of multiple regression to analysis the factors of the rumors to the publiccompanies’ stock price. The impact of rumors to the public companies are not the same,as this, this paper studies the factors which have the important effect on the publiccompanies’ stock price. First we selected the public company itself characteristics, ROEand the reputation of public companies, the circulation market value of publiccompanies and public companies whether to adopt suspension strategies when rumorsoccurring, then we select the characteristics of the rumors, the credibility of the sourceand the rumor’s quality. Regression results show that in the above six independentvariables, only "the reputation of public companies" and "the circulation market valueof public companies is not significant. So we can say, the higher the credibility of therumors and the more reliable the sources, the greater the negative effect of the stockprice of public companies. The profitability of the public companies itself strong or thepublic companies adopt suspension strategies when rumors occurring, the less negativeeffect on the public company’s share price.Fourth, in order to prove the effect of rumors to stock price influence existence,we also join the real case in the stock market. When the rumor occurring, the share priceplunged, reflect from the other side of the China’s securities market investors’ irrationaland immature, easy to damage the interests of small and medium-sized investors. Basedon the related policy, the comprehensive quality of news workers and the investors owncomprehensive quality aspects, we put forward some related Suggestions.