THE INFLUENCE OF RUMORS AND ITS CONSEQUENCES IN DYNAMICS OF STOCK MARKET PRICES
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 S...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
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Universidade Estadual Paulista Júlio de Mesquita Filho (UNESP)
2013-01-01
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| Series: | Brazilian Journal of Information Science |
| Subjects: | |
| Online Access: | http://www2.marilia.unesp.br/revistas/index.php/bjis/article/view/3120/2452 |
| _version_ | 1818542892589776896 |
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| author | Fábio Marques da Cruz Maria Yêda Falcão Soares de Filgueiras Gomes |
| author_facet | Fábio Marques da Cruz Maria Yêda Falcão Soares de Filgueiras Gomes |
| author_sort | Fábio Marques da Cruz |
| collection | DOAJ |
| description | 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. |
| first_indexed | 2024-12-11T22:28:08Z |
| format | Article |
| id | doaj.art-f9739551e2d14e558a38f523c735583f |
| institution | Directory Open Access Journal |
| issn | 1981-1640 |
| language | English |
| last_indexed | 2024-12-11T22:28:08Z |
| publishDate | 2013-01-01 |
| publisher | Universidade Estadual Paulista Júlio de Mesquita Filho (UNESP) |
| record_format | Article |
| series | Brazilian Journal of Information Science |
| spelling | doaj.art-f9739551e2d14e558a38f523c735583f2022-12-22T00:48:13ZengUniversidade Estadual Paulista Júlio de Mesquita Filho (UNESP)Brazilian Journal of Information Science1981-16402013-01-017Special Number8996THE INFLUENCE OF RUMORS AND ITS CONSEQUENCES IN DYNAMICS OF STOCK MARKET PRICESFábio Marques da CruzMaria Yêda Falcão Soares de Filgueiras GomesThis 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.http://www2.marilia.unesp.br/revistas/index.php/bjis/article/view/3120/2452RumorStock MarketNewsPrice FluctuationSao Paulo Stock Exchange. |
| spellingShingle | Fábio Marques da Cruz Maria Yêda Falcão Soares de Filgueiras Gomes THE INFLUENCE OF RUMORS AND ITS CONSEQUENCES IN DYNAMICS OF STOCK MARKET PRICES Brazilian Journal of Information Science Rumor Stock Market News Price Fluctuation Sao Paulo Stock Exchange. |
| title | THE INFLUENCE OF RUMORS AND ITS CONSEQUENCES IN DYNAMICS OF STOCK MARKET PRICES |
| title_full | THE INFLUENCE OF RUMORS AND ITS CONSEQUENCES IN DYNAMICS OF STOCK MARKET PRICES |
| title_fullStr | THE INFLUENCE OF RUMORS AND ITS CONSEQUENCES IN DYNAMICS OF STOCK MARKET PRICES |
| title_full_unstemmed | THE INFLUENCE OF RUMORS AND ITS CONSEQUENCES IN DYNAMICS OF STOCK MARKET PRICES |
| title_short | THE INFLUENCE OF RUMORS AND ITS CONSEQUENCES IN DYNAMICS OF STOCK MARKET PRICES |
| title_sort | influence of rumors and its consequences in dynamics of stock market prices |
| topic | Rumor Stock Market News Price Fluctuation Sao Paulo Stock Exchange. |
| url | http://www2.marilia.unesp.br/revistas/index.php/bjis/article/view/3120/2452 |
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