Abstract
The purpose of this study is to investigate the effect of rumors (released on the web) in the stock market on common stock returns traded in the Shenzhen and Shanghai Stock Exchange. The sample consists of 188 rumors mentioned in the eastmoney.com and 10jqka.com.cn. The results show that the significant average cumulative abnormal returns (CAR) are observed in the beginning 5 days prior to the publication date and the significant CARs are also detected in 10 days post to the publication date. Furthermore, the difference of type of rumors may be an important explanation of the price movement.
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