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The stock market rumours and stock prices: a test of price pressure and size effect in an emerging market

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  • Halil Kiymaz

Abstract

The purpose of this study is to investigate the effects of stock market rumours/gossips on the prices of stocks traded at the Istanbul Stock Exchange with respect to price pressure and size effect. While positive significant abnormal returns are observed in days prior to the publication date, negative insignificant abnormal returns are detected in post-publication period. The view that the price movement is due to the price pressure created by the column itself is not supported. Furthermore, the smaller firms appears to be more speculative and negative returns in post publication period is more pronounced. The findings in pre-publication period refute the strong form of market efficiency while the findings in post-publication period suggest that investment decisions based on the published rumours would not benefit investors.

Suggested Citation

  • Halil Kiymaz, 2002. "The stock market rumours and stock prices: a test of price pressure and size effect in an emerging market," Applied Financial Economics, Taylor & Francis Journals, vol. 12(7), pages 469-474.
    • Handle: RePEc:taf:apfiec:v:12:y:2002:i:7:p:469-474
    DOI: 10.1080/09603100010005852
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    Cited by:

    1. Riccardo Ferretti & Francesco Pattarin, 2008. "Is public information really public? The role of newspapers," Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance) 08013, Universita di Modena e Reggio Emilia, Dipartimento di Economia "Marco Biagi".
    2. Rodolfo Aquino, 2006. "Efficiency of the Philippine stock market," Applied Economics Letters, Taylor & Francis Journals, vol. 13(7), pages 463-470.
    3. Yue Dong & Jiepeng Wang & Tingqiang Chen, 2019. "Price Linkage Rumors in the Stock Market and Investor Risk Contagion on Bilayer-Coupled Networks," Complexity, Hindawi, vol. 2019, pages 1-21, April.
    4. Alzahrani, Ahmed Ibrahim & Sarsam, Samer Muthana & Al-Samarraie, Hosam & Alblehai, Fahad, 2023. "Exploring the sentimental features of rumor messages and investors' intentions to invest," International Review of Economics & Finance, Elsevier, vol. 87(C), pages 433-444.
    5. Enrico Maria Cervellati & Riccardo Ferretti & Pierpaolo Pattitoni, 2011. "Market Reaction to Second-Hand News: Attention Grabbing or Information Dissemination," Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance) 0024, Universita di Modena e Reggio Emilia, Dipartimento di Economia "Marco Biagi".
    6. Shi, Qi & Ye, Yong & Zhao, Gang, 2023. "Speculation and clarification announcements on stock price fluctuations: Why are rumours plausible and hard to clarify?," International Review of Economics & Finance, Elsevier, vol. 85(C), pages 473-487.
    7. Riccardo Ferretti & Francesco Pattarin, 2008. "Is public information really public? The role of newspapers," Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance) 0008, Universita di Modena e Reggio Emilia, Dipartimento di Economia "Marco Biagi".
    8. Enrico Maria Cervellati & Riccardo Ferretti & Pierpaolo Pattitoni, 2014. "Market reaction to second-hand news: inside the attention-grabbing hypothesis," Applied Economics, Taylor & Francis Journals, vol. 46(10), pages 1108-1121, April.
    9. Hanousek, Jan & Kopřiva, František, 2013. "Do broker/analyst conflicts matter? Detecting evidence from internet trading platforms," International Review of Financial Analysis, Elsevier, vol. 28(C), pages 86-92.
    10. Igor Semenenko, 2019. "Rumor Mill and Merger Waves: Analysis of Aggregate Market Activity," Journal of Applied Finance & Banking, SCIENPRESS Ltd, vol. 9(2), pages 1-5.

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