Investor reaction to extreme price shocks in stock markets: A cross country examination
Lalwani, Vaibhav
Investor reaction to extreme price shocks in stock markets: A cross country examination - 258-267 p.
This study attempts to investigate the presence of post event over- or under-reaction in stock markets of the top 10 countries by market capitalisation. An event is defined as an extreme price movement beyond a pre-defined threshold. Intra-day stock returns at 10-minute frequency starting from June 2009 till May 2016 have been analysed using average cumulative returns (ACR) and average cumulative abnormal returns (ACAR) for a 6-day duration after the event. It appears that there is presence of over- or under-reaction in 8 out of a total of 10 countries, and investors display psychological biases which lead to profit making opportunities.
Over and under reaction Stock markets Abnormal returns Efficient market hypothesis Price shocks
Investor reaction to extreme price shocks in stock markets: A cross country examination - 258-267 p.
This study attempts to investigate the presence of post event over- or under-reaction in stock markets of the top 10 countries by market capitalisation. An event is defined as an extreme price movement beyond a pre-defined threshold. Intra-day stock returns at 10-minute frequency starting from June 2009 till May 2016 have been analysed using average cumulative returns (ACR) and average cumulative abnormal returns (ACAR) for a 6-day duration after the event. It appears that there is presence of over- or under-reaction in 8 out of a total of 10 countries, and investors display psychological biases which lead to profit making opportunities.
Over and under reaction Stock markets Abnormal returns Efficient market hypothesis Price shocks