The Stock Market Reaction To Clarification Announcement

Under the background of highly developed Internet and wide range of news dissemination,the market is full of all kinds of rumors about listed companies,and issuing clarification announcement is the main means for listed companies to deal with rumors.Therefore,it is of great significance to study the stock market reaction of clarification announcement.The existing research are mainly based on the a-share market.Different from previous studies,this article embarks from the China a-share market and Hong Kong stock market to study the clarification announcement of stock market.This article analyses the response to the clarification announcement of China a-share market and Hong Kong stock market.Based on the method of event study,multiple linear regression and quantile regression research,drawing conclusion that the effect of clarification announcement in a-share stock market effect is limited and H share market clarification effect was better than the a-share market.This article first analyzes the stock abnormal return rate brought by rumors and clarification announcements through the event research method.To study the impact of rumors,the time window [T1-10,T1] is selected.To study the impact of clarification announcements,the time window [T2-5,T2+5] is selected.Based on the analysis of whether the abnormal stock returns in two time windows are significantly different from 0,the conclusion are that the rumor has brought significant abnormal returns to the stock market,and the clarification announcement of denying the rumor‘s effect is limited,and the clarification announcement that denies good rumors is better than the clarification announcement that denies bad rumors.Then this article uses the multiple linear regression method to study the influencing factors that influence the effectiveness of the clarification announcement,and use the quantile regression method to test the robustness of the multiple regression results.Due to the analysis of the event research method,the stock market had a significant response as early as the first two trading days after the announcement was clarified,so the cumulative abnormal return rate under the time window [T2-2,T2+2] was selected as the explained variable.Taking the rumored nature(positive/negative),clarified attitude(admitting /denying),rumored content(whether it is a merger and acquisition type),clarified time(whether clarified on the same day of the rumor)as the explanatory variables.Taking the relevant indicators of listed companies as control variables,such as total assets,Asset-liability ratio,return on assets,earnings per share,proportion of independent directors,proportion of largest shareholder,and proportion of institutional investors.This article constructs a multiple linear regression model for analysis and use quantile regression to test the robustness of the multiple regression results.It was concluded that the clarification effect in the A-share market was not good,the clarification effect in the H-share market was better than that in the A-share market,and it was also concluded that the proportion of independent directors had a greater impact on the effectiveness of the clarification announcement Great conclusion.Finally,according to the results of the previous analysis,corresponding suggestions are proposed for China's stock market,regulatory authorities and listed companies.