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Can Rumor Clarification Eliminate the Effects of Rumors?: Evidence From China

Can Rumor Clarification Eliminate the Effects of Rumors?: Evidence From China
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Author(s): Peinan Ji (Harbin Institute of Technology, Harbin, China), Xiangbin Yan (University of Science and Technology Beijing, Beijing, China) and Guang Yu (Harbin Institute of Technology, Harbin, China)
Copyright: 2020
Volume: 11
Issue: 1
Pages: 15
Source title: International Journal of Asian Business and Information Management (IJABIM)
Editor(s)-in-Chief: Patricia Ordóñez de Pablos (Universidad de Oviedo, Spain)
DOI: 10.4018/IJABIM.2020010103

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Abstract

This article analyzes the effects of rumor and official rumor clarification on Chinese stock returns under different rumor conditions using an event study. The results are based on a sample of 832 rumor clarification announcements from China Listed Companies spanning the period of 2015 to 2017. The results show that the average cumulative abnormal return after the rumor event is significantly positive in the positive rumor sample and neutral sample, and significantly negative in the negative rumor sample. After the clarification announcements, we find the announcements effective for the positive and neutral rumor sample, but not in the case of the negative sample. However, by comparing different clarification times of each sample, we find that the earlier the clarification time is, the smaller the impact on the companies in positive and negative rumor examples.

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