The influence of rumors and its consequences in dynamics of stock market prices
DOI:
https://doi.org/10.36311/1981-1640.2013.v7esp.06.p89Keywords:
Rumor, Stock Market, News, Price Fluctuation, Sao Paulo Stock Exchange.Abstract
This work is part of an ongoing study that aims to analyze the influence of rumors on the price dynamics in the stock market, through a case study of companies whose shares are traded much among financial agents. For this purpose we used historical prices of securities traded in the spot market of Sao Paulo Stock Exchange in the years 2007 to 2011, from files available in its website. A sample of 10 companies was selected among the stocks with higher trading volume during this period to collect the documents presented for communication of relevant facts and clarifications in stock exchange’s site. Only communications presented on the period specified that provide clarification related to news and unverified information disclosed in the press were brought within the scope of data collection. Until now, only the company communications with the most actively traded stocks were collected, whose analysis allowed the categorization of information and creation of a diagram for representing information about the rumors treated on these documents. This diagram was applied to a database where the information collected was stored for later retrieval and analysis. From this information, asset prices were retrieved to analyze the influence of rumors reported by the press in the price fluctuation of the asset. The authors Kapferer, Müller and Martins form the theoretical framework. As a result, the research has identified some rumors that interfered in the stock prices, as well as classified the rumors about the issues they address. So, as many times the rumor rises from the void of knowledge and information asymmetry, it is noted that there is no perfect competition among financial agents.
Downloads
References
Downloads
Published
Issue
Section
License
When submitting an article, the authors retain the copyright of the article, giving full rights to the Brazilian Journal of Information Science to publish the text.
The author(s) agree that the article, if editorially accepted for publication, shall be licensed under the Creative Commons Attribution-ShareAlike 4.0 International (CC BY-SA 4.0) license (http://creativecommons.org/licenses/by-sa/4.0) Readers/users are free to: - Share — copy and redistribute the material in any medium or format - Adapt — remix, transform, and build upon the material for any purpose, even commercially. The licensor cannot revoke these freedoms as long as you follow the license terms. Under the following terms: - Attribution — You must give appropriate credit, provide a link to the license, and indicate if changes were made. You may do so in any reasonable manner, but not in any way that suggests the licensor endorses you or your use. - ShareAlike — If you remix, transform, or build upon the material, you must distribute your contributions under the same license as the original. No additional restrictions — You may not apply legal terms or technological measures that legally restrict others from doing anything the license permits. Notices: - You do not have to comply with the license for elements of the material in the public domain or where your use is permitted by an applicable exception or limitation. - No warranties are given. The license may not give you all of the permissions necessary for your intended use. For example, other rights such as publicity, privacy, or moral rights may limit how you use the material.
Creative Commons Attribution-ShareAlike 4.0 International License.