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

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.

本研究的初始样本涵盖了自2014年1月1日至2014年12月31日间所有中国A股上市公司。5分钟频率的价格数据以及交易和报价数据均来源于CSMAR高频数据库；其中，价格数据用于计算波动率。澄清信息则来源于CNRDS数据库，我们仅保留在悲观公告中予以澄清的谣言，因为这些谣言可能代表恶意攻击，且更易引起管理者的高度关注。澄清变量Clari,t在当日t及其前15个交易日（t-15至t-1）观察到澄清时取值为1，否则为0。我们将欺诈处罚作为公司声誉的负面指标（Fraud），Fraudi,t为虚拟变量，若在过去6年内发生欺诈处罚，则取值为1，这些处罚信息来源于CSMAR数据库。我们排除了无谣言澄清的公司、上市时间不足两年的公司以及存在缺失变量的样本。最终，我们获得了515137个日度样本，涉及599家公司，最长交易天数达到1219天。