| Abstract [eng] |
The main purpose of this master thesis is to theoretically analyze the impact of social media on the stock market and evaluate how rumors disseminated on social media influence stock prices. The work consists of three main parts: the analysis of scientific literature, the research and its results, conclusion and recommendations. Literature analysis reviews the factors influencing stock prices and market volatility, the classification of news types, market rumors and evaluates how rumors can impact stock prices. It also discusses the methodology of evaluating the impact of rumors on stock market volatility. Following the literature review, the author conducts a study on the impact of rumors on stock market volatility in the U.S. and European stock markets, evaluating how positive and negative rumors influence market fluctuations and comparing their effects across these two major regions. This study will employ a combination of methods: event study methodology, abnormal returns, cumulative abnormal returns, correlation and regression analyses. The conducted research revealed that positive rumors have a greater impact on U.S. stock market volatility, however the influence of negative rumors persists for a longer duration. The findings indicate that for European stock market negative rumors have a greater impact compared to positive rumors. Additionally, correlation and regression models confirmed that rumors are a significant variable influencing abnormal returns in both stock markets. The conclusions and recommendations summarize the main concepts of literature analysis as well as the results of the performed research. The author believes that this research can give usefull guidelines for investors, financial analysts, and market participants in understanding the influence of rumors on stock market volatility. Additionally, the author provides recommendations for conducting further similar studies, allowing for a broader understanding and more comprehensive examination of rumors effect on stock market volatility. |
