Abstract
This paper analyzes the influence of rumors on price fluctuations in the Stock Exchange of São Paulo between 2007 and 2011, through a case study with Petrobras, a company whose stock had the largest trading volume within the period. For this purpose we used the historical prices of cash market provided by the stock exchange. The communications in which Petrobras provides clarifications regarding unofficial information disclosed in the press were also collected from the stock exchange website. The analysis of these documents helped to create a diagram to represent the information about the rumors and categorize them by subject. This diagram was applied to a database to store the information collected from the company’s communications. Then this information was retrieved to analyze the influence of rumors on price movements. The results confirm that the company’s responses to rumors influence price fluctuations of its stock. At eagerness for information to dilute uncertainty, investors make decisions based on rumors betting on the credibility of the media that disclose them, even though knowing that the information is not always reliable.
Highlights
This paper analyzes the influence of rumors on price fluctuations in the Stock Exchange of São Paulo between 2007 and 2011, through a case study with Petrobras, a company whose stock had the largest trading volume within the period
Esse diagrama foi aplicado a uma base de dados para armazenamento das informações coletadas nos comunicados
A total of 108 communications from Petrobras were collected. They refer to 117 rumors disclosed by the press during the years between 2007 and 2011
Summary
This paper analyzes the influence of rumors on price fluctuations in the Stock Exchange of São Paulo between 2007 and 2011, through a case study with Petrobras, a company whose stock had the largest trading volume within the period. The aim of the paper was to analyze the influence of rumors on the price dynamics in the stock market through a case study with Petrobras - a company whose stock had the greatest financial volume from 2007 to 2011. This is a part of an ongoing Master’s thesis in which the sample includes other nine companies under analysis. The rumor can become stronger while the company resulting in the so-called information society
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