Could the rumor clarification pacify the stock market:Evidence from China

Published: 06-03-2020| Version 1 | DOI: 10.17632/bcgzzg23cx.1
Yun Hong


Our initial sample consists of all the Chinese A-share listed firm samples spans from January 1, 2014 to December 31. The 5-min frequency price data and the trade and quote data are collected from the CSMAR high-frequency database; the former data are used to calculate the RV. The clarifications are collected from the CNRDS database, we retains only the rumor clarified in pessimistic announcement as these rumors may represent malicious attacks and more likely to attract the managers’ keen attention, the clarification variable Clari,t takes the value of 1 if observing a clarification during the (t-15, t-1) trading days for firm i in day t, and 0 otherwise. We use the fraud punishments as the negative measurement of the companies’ reputation (Fraud), Fraudi,t is a dummy variable get the value 1 if there is fraud punishments happened during the past 6 years, which are collected from CSMAR database. We delete the firms without rumor clarification, the sample-firms going public and the firms with trading days less than two years, and the samples with missing variables. Finally we get 515137 daily samples comprising 599 firms, with the maximum length of 1219 trading days.