Rumor and stock markets are coexisted. Most previous studies have focused on the effect of rumor on stock movements. However, few investigated the reactions of investors when a rumor is verified by authorities. Since Chinese Securities Regulatory Commission requires the listed firms to clarify the relevant rumors in time, it is of great interests to understand the effect of rumor clarification on Chinese stock markets. In this study, we first obtained the information of rumor clarification which is announced by rumor confirmation column in the www.p5w.net, one of the largest rumor clarification websites in China, using text mining techniques, and then study its direct impact on stock movements. Our main findings are that the reactions of investors are strongly related with the types of rumors and the responses of the relevant listed firms. In particular, the positive or negative response to good rumors tends to further raise up or drag down the stock price, while either the positive or negative response to bad rumors is not able to stop the downward trend of stock prices. In addition, the stock market is quite sensitive to the rumors of restructuring, mergers and acquisitions, which leads to the violent fluctuation of stock prices.
Wang, Jun; Chen, Yan; Tang, Yang; and Li, Qing, "THE EFFECT OF RUMOR CLARIFICATION ON CHINESE STOCK MARKETS" (2016). PACIS 2016 Proceedings. 298.