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"Clarification Announcement" of Listed Companies and Share Price Volatility

Author: WangLiLi
Tutor: LiTao
School: Nanjing University of Technology and Engineering
Course: Finance
Keywords: Clarification Announcement Market Rumors Event Study Investor Behavior
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Type: Master's thesis
Year: 2014
Downloads: 15
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Abstract


As a special form of information, market rumors play a role that not allow to ignore in our country securities market; clarification announcement regime of A-share listed companies in China as one of the main content of the information disclosure regime, aimed at reducing the impact of stock price causing by the market rumors. With China’s A-share listed companies during January2008to December2012as samples, first of all, using the method of event study, this study investigates on individual stocks yield fluctuation in the phase of market rumors and the phase of clarifying rumors, study on Market rumors effect and clarification announcement effect accordingly; second, using comparative research compared the different effects of the nature of the market caused by the rumors and clarification announcement effect caused by different ways to clarify; finally, combining the theory of investor behavior related explain the above two kinds of effect and differences. The results show that the impact of stock price causing by market rumors difference between the different nature of the rumors ("good" or "bad"); clarification announcement response (" sure "or" no ") will affect investors’ investment behavior. But the clarification announcement effect on stock price recovery overall is not obvious, the clarification announcement will not make stock prices to return to the previous level before the rumors. This conclusion does not agree with the "Theory of Irreversible Investment", especially does not agree with the principle of "Bad News". Analysis from the angle of investor behavior, we found out the uncertain decision environment and the investor’s own "irrational" would lead investors to all kinds of deviation in the progress of cognizing market information and determining the stock price. In the face of market rumors, A-share investors appear to "optimism", they are more credulous "positive" rumor message, and response to "bad" speculation relatively insufficiently; At the same time, investors will be adjusted their investment decisions according to the clarification announcement, but because of "Confirmation Bias" and the existence of "Anchoring Effect", investors to the clarification announcement overall is the lack of "reaction".

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