{"title":"股市谣言与价格效率：投资者互动平台上谣言验证的实证研究","authors":"Wenting Zhang, Chenxi Wang","doi":"10.1016/j.cjar.2024.100356","DOIUrl":null,"url":null,"abstract":"<div><p>Using rumor verification data from investor interactive platforms, we investigate the effect of stock market rumors on price efficiency. We find favorable rumors are positively correlated with stock price synchronicity, while unfavorable rumors are negatively correlated with stock price synchronicity. Both favorable and unfavorable rumors are positively correlated with stock mispricing levels, and stock price crash risk. Mechanism tests reveal that favorable rumors about industry leaders have industry spillover effects. The effect of rumors on mispricing levels and stock price crash risk are more pronounced when there are more retail investors. Further analysis shows stronger detrimental impacts of rumors on price efficiency for small-cap companies, companies with low information transparency and companies with low institutional ownership.</p></div>","PeriodicalId":45688,"journal":{"name":"China Journal of Accounting Research","volume":"17 2","pages":"Article 100356"},"PeriodicalIF":1.9000,"publicationDate":"2024-04-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S1755309124000145/pdfft?md5=fc8086a8a372299e5aaf1d0e4bb09978&pid=1-s2.0-S1755309124000145-main.pdf","citationCount":"0","resultStr":"{\"title\":\"Rumors and price efficiency in stock market: An empirical study of rumor verification on investor Interactive platforms\",\"authors\":\"Wenting Zhang, Chenxi Wang\",\"doi\":\"10.1016/j.cjar.2024.100356\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"<div><p>Using rumor verification data from investor interactive platforms, we investigate the effect of stock market rumors on price efficiency. We find favorable rumors are positively correlated with stock price synchronicity, while unfavorable rumors are negatively correlated with stock price synchronicity. Both favorable and unfavorable rumors are positively correlated with stock mispricing levels, and stock price crash risk. Mechanism tests reveal that favorable rumors about industry leaders have industry spillover effects. The effect of rumors on mispricing levels and stock price crash risk are more pronounced when there are more retail investors. Further analysis shows stronger detrimental impacts of rumors on price efficiency for small-cap companies, companies with low information transparency and companies with low institutional ownership.</p></div>\",\"PeriodicalId\":45688,\"journal\":{\"name\":\"China Journal of Accounting Research\",\"volume\":\"17 2\",\"pages\":\"Article 100356\"},\"PeriodicalIF\":1.9000,\"publicationDate\":\"2024-04-20\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"https://www.sciencedirect.com/science/article/pii/S1755309124000145/pdfft?md5=fc8086a8a372299e5aaf1d0e4bb09978&pid=1-s2.0-S1755309124000145-main.pdf\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"China Journal of Accounting Research\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://www.sciencedirect.com/science/article/pii/S1755309124000145\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q2\",\"JCRName\":\"BUSINESS, FINANCE\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"China Journal of Accounting Research","FirstCategoryId":"1085","ListUrlMain":"https://www.sciencedirect.com/science/article/pii/S1755309124000145","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q2","JCRName":"BUSINESS, FINANCE","Score":null,"Total":0}
Rumors and price efficiency in stock market: An empirical study of rumor verification on investor Interactive platforms
Using rumor verification data from investor interactive platforms, we investigate the effect of stock market rumors on price efficiency. We find favorable rumors are positively correlated with stock price synchronicity, while unfavorable rumors are negatively correlated with stock price synchronicity. Both favorable and unfavorable rumors are positively correlated with stock mispricing levels, and stock price crash risk. Mechanism tests reveal that favorable rumors about industry leaders have industry spillover effects. The effect of rumors on mispricing levels and stock price crash risk are more pronounced when there are more retail investors. Further analysis shows stronger detrimental impacts of rumors on price efficiency for small-cap companies, companies with low information transparency and companies with low institutional ownership.
期刊介绍：
The focus of the China Journal of Accounting Research is to publish theoretical and empirical research papers that use contemporary research methodologies to investigate issues about accounting, corporate finance, auditing and corporate governance in the Greater China region, countries related to the Belt and Road Initiative, and other emerging and developed markets. The Journal encourages the applications of economic and sociological theories to analyze and explain accounting issues within the legal and institutional framework, and to explore accounting issues under different capital markets accurately and succinctly. The published research articles of the Journal will enable scholars to extract relevant issues about accounting, corporate finance, auditing and corporate governance related to the capital markets and institutional environment.
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