Abstract
In this research, the impact of clear rumor declarations on the measurement of abnormal stock returns behavior has been investigated in Tehran Stock Market by means of event research so that to reveal well abnormal stock returns behavior. Following testing 169 clear rumor declarations during the period (2017-2019), Using Spss statistical software version 26 and Eviews version 12, the results of regression analysis and correlation tests indicate that content of clear rumor declarations may affect abnormal stock returns behavior. Confirmation of good rumors has increased the efficiency of abnormal stock returns 10 days after the date of the given declaration and approval of bad rumors has led to reducing the efficiency of abnormal stock returns upon declaration day. Similarly, the results showed that if rumors were disclosed during working hours in Tehran Stock Market they would reduce the efficiency of abnormal stock returns on the same day. After comparing the results of the research, the need to educate and promote the shareholding culture among shareholders is felt more than ever before. They also need to shift their focus from focusing on rumors to principled investing in futures stocks to avoid cross-sectional fluctuations, destructive rumors and other market risks and achieve a good return stock
Highlights
In the stock market, people invest in two types of information; one is the basic information of a company and the other is the rumor
Clear rumor declarations are prepared according to transparency declaration about the rumor, news or report published in Publishers' Data Analysis System (TEDAN) and Publishers' Comprehensive Communication System (CODAL) in Tehran Stock Market where they published transparency declarations from 12/02/2018 through 16/03/2020
It has been dealt with event research based on clear rumor declarations in this study using regression analysis and correlation tests to measure the abnormal stock return
Summary
People invest in two types of information; one is the basic information of a company and the other is the rumor. By extraction of 12,663 pairs of rumor declarations from 1,840,520 posts in social media and by using analysis of emotions along with corporate online behaviors, Qianwei Y. et al (2019) concluded that transparency of digital rumor might affect abnormal returns and it could be explained by emotions; alternately, the online transparent behaviors of enterprises included frequency of information disclosure and time of response and expression and they would not be limited to the effect on abnormal stock returns. By extraction of 4,134 transparency pairs out of 687,429 posts sent to social media and employing event research technique, Jun W et al (2017) analyzed the impact of transparency on stock return Their findings suggest that the clarified messages have not been well accepted in social media by actors in Exchange Market and this may provide a second chance for spreading rumor and it may increase abnormal stock returns further. Fourth group hypothesis: time of transparency declaration affects stock return in the event research
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