Study On The Stock Market Reaction Of Negative Rumors And Clarification Announcements

With the rapid development of China's capital market and media technology,the rumors on the stock market are increasing gradually.The spread of false and negative rumors will not merely influence the company adversely,but also may damage the interests of minority investors,which will become the obstruction of the healthy development of Chinese stock market.China Securities Regulatory Commission requires listed companies to disclose clarification announcements to clarify the relevant rumors,however there is a common phenomenon that clarification announcements are ineffective.In the past,most of the research focused on the stock market reaction of rumors,but there are few studies on the effect of clarification.And previous studies have rarely considered the differences from the media of the release rumors.This paper adds media element to research field as well as explores how the rumors from traditional media and new media will have different impacts on the stock market.On this basis,we further to analyze the different clarification effect between two sources of rumors and finally comprehensive analyze the factors that influence the effect of clarification.This thesis takes the listed companies in Shanghai and Shenzhen as the research object,collects the clarification announcements from January 2015 to June 2017,and studies the stock market reaction of rumors and clarification announcements.The main research work and innovative achievements of this paper are as follows:First of all,on the basis of the existing research,the paper introduces the variable related to media,and uses the event study method to research the impact of negative rumors during window period from traditional media and new media on the stock market.The results show that the negative rumors from traditional media and new media will make the share price fall,that is negative and abnormal returns,while rumors published in the traditional media has greater impact on the company's share price.In the second place,the paper explores whether there are differences in the effect of clarification of the rumors during window period from traditional media and new media by means of event study method.Through single sample T test and independent sample T test,it is found that the negative rumors from the traditional media are more difficult to be clarified than the negative rumors released from the new media.In the end,the paper studies the five influential factors of the clarification announcement by using multivariate regression analysis.The following conclusions are drawn:(1)The source of rumors has the greatest impact on the effect of clarification,the effect is better in clarifying the rumors published in the new media.(2)The timeliness of clarification,the detail of clarification announcements and the corporate's reputation will also affect the clarification effect.Specifically,the more timely clarification announcement is,the better the clarification effect;the more detailed the announcement is,the better the clarification effect is;the better the reputation is,the better the clarification effect is.(3)The amount of information disclosure media designated by the company has no significant effect on the effect of clarification announcements.