Investor reaction to extreme price shocks in stock markets: A cross country examination
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RAVI aNSHUMAN V. IIMB Management ReviewSummary: 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.
| Item type | Current library | Call number | Vol info | Status | Notes | Date due | Barcode | Item holds | |
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Journal Article
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Main Library | Vol 31, Issue 3/ 55511085JA4 (Browse shelf(Opens below)) | Available | 55511085JA4 | |||||
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Main Library On Display | JRNL/GEN/Vol 31, Issue 3/55511085 (Browse shelf(Opens below)) | Vol 31, Issue 3 (30/01/2019) | Not for loan | September, 2019 | 55511085 |
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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.
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