The influence of rumors and its consequences in dynamics of stock market prices

• Autor(a) principal: Cruz, Fábio Marques da
• Data de Publicação: 2013
• Outros Autores: Gomes, Maria Yêda Falcão Soares de Filgueiras
• Tipo de documento: Artigo
• Idioma: eng; por
• Título da fonte: Brazilian Journal of Information Science
• Texto Completo: https://revistas.marilia.unesp.br/index.php/bjis/article/view/3120
• topic: Boato; Mercado de Ações; Notícias; Oscilação de Preço; Bolsa de Valores de São Paulo.; Rumor; Stock Market; News; Price Fluctuation; Sao Paulo Stock Exchange.

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.