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Using rumor verification data from investor interactive platforms, we investigate the effect of stock market rumors on price efficiency. We find favorable rumors are positively correlated with stock price synchronicity, while unfavorable rumors are negatively correlated with stock price...
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Active government intervention is a striking characteristic of the Chinese stock market. This study develops a behavioral heterogeneous agent model (HAM) comprising fundamentalists, chartists, and stabilizers to investigate investors' dynamic switching mechanisms under government intervention....
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