The strategy of “buy on rumors, sell on news” is mostly done by investors. This strategy carries a higher risk. Changes in stock price volatility due to rumors are difficult to predict. This empirical study aims to explore the impact of rumors on stock prices by analyzing changes in stock price volatility patterns in the period of circulation of rumors. Changes in volatility patterns indicate changes in stock prices. If rumors have an impact on increasing volatility, stock prices tend to change. If there is a change in price, it is likely that there will be a movement in the price of shares that form a certain trend (up or down). Meanwhile, if you believe that you’ve understood market volatility well, you can always go to http://www.volatility75.net/brokers.html if you are actually interested in trading Volatility 75 Index.

The impact of rumors on each stock is different and rumors do not always increase the volatility of stock prices. Changes in the pattern of stock price volatility due to rumors do not always move the trend of stock prices up (down). As a result, the implementation of the “buy on rumors, sell on news” strategy will be different for each stock and needs to be adjusted according to its volatility pattern (asymmetrical or symmetrical). This creates higher uncertainty and risk. But it also creates a higher chance of abnormal returns.

The strategy of “buy on rumors, sell on news” is mostly carried out by investors in the capital market. Investors have expectations to get an abnormal return by buying shares before they become news. In addition to the chance of abnormal returns, the strategy also carries a higher risk. Risks that arise related to changes in stock price volatility patterns because rumors must be validated before they become information.

Research into the effects of rumors is very important to explore the impact of rumors on stock prices by analyzing the pattern of stock price volatility in the period of circulation of rumors. Changes in volatility patterns due to rumors indicate a tendency for changes in stock prices. If rumors have an impact on increasing volatility, stock prices tend to change.

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