Abnormal returns and stock price movements: some evidence from developed and emerging markets
Анотація
This paper investigates the impact of abnormal returns on stock prices by using daily and hourly data for some developed (US, UK, Japan) and emerging (China, India) markets over the period 01.01.2010-01.01.2020.Average analysis, t-tests, CAR and trading simulation methods are used to test the following hypotheses: H1) abnormal returns can be detected before the end of the day; H2) there are price effects on the day after abnormal returns occur; H3) these effects are different for developed vis--vis emerging markets; H4) they can be used to generate profits from intraday trading.The results suggest that there is a 2-hour window before close of business to exploit momentum effects on days with abnormal returns.On the following day momentum effects occur after positive abnormal returns, and contrarian (momentum) effects in the case of developed (emerging) stock markets after negative abnormal returns.Trading simulations show that some of these effects can be exploited to generate abnormal profits with an appropriate calibration of the timing parameters.
Класифікація
Ідентифікатори
Рецензії (0)
Написати рецензіюРецензій ще немає. Будьте першим!
Схожі роботи
Price effects after one-day abnormal returns in developed and emerging markets: ESG versus traditional indices
Схоже за: Financial Markets and Investment Strategies · Market Dynamics and Volatility · Stock Market Forecasting Methods
Evolution of price effects after one-day abnormal returns in the US stock market
Схоже за: Financial Markets and Investment Strategies · Market Dynamics and Volatility · Stock Market Forecasting Methods
Price gap anomaly in the US stock market: The whole story
Схоже за: Financial Markets and Investment Strategies · Market Dynamics and Volatility · Stock Market Forecasting Methods
Advantages of <scp>ESG</scp> Indexes Compared to Traditional Ones in Predicting Stock Prices
Схоже за: Financial Markets and Investment Strategies · Market Dynamics and Volatility · Stock Market Forecasting Methods
Abnormal Returns and Stock Price Movements: Some Evidence from Developed and Emerging Markets
Схоже за: Financial Markets and Investment Strategies · Market Dynamics and Volatility · Stock Market Forecasting Methods
Price Gap Anomaly in the US Stock Market: The Whole Story
Схоже за: Financial Markets and Investment Strategies · Market Dynamics and Volatility · Stock Market Forecasting Methods