IDEAS home Printed from https://ideas.repec.org/a/ids/ijbeaf/v5y2015i2p154-174.html
   My bibliography  Save this article

Investors' reaction to unexpected price innovations: the case of GCC countries

Author

Listed:
  • Rasoul Rezvanian
  • Rima Turk Ariss
  • Seyed M. Mehdian

Abstract

We examine investors' reactions to sharp price changes in seven equity markets of Gulf Cooperation Council (GCC) countries to uncover patterns of price formation. We compare the price behaviour and volatility of these markets within a 15-day window following the arrival of unexpected sharp price changes. We find that the arrival of sharp price changes significantly increases market volatility in all GCC markets and that subsequent price adjustments mostly exhibit upward corrective patterns. These findings are consistent with the prediction of the uncertain information hypothesis. Faced with unexpected positive and negative price changes, investors react rationally by initially setting equity prices below their fundamental values, with subsequent price trends registering an upward adjustment. These findings suggest that contrarian investment strategy cannot be utilised in these cases to generate abnormal returns in GCC markets.

Suggested Citation

  • Rasoul Rezvanian & Rima Turk Ariss & Seyed M. Mehdian, 2015. "Investors' reaction to unexpected price innovations: the case of GCC countries," International Journal of Behavioural Accounting and Finance, Inderscience Enterprises Ltd, vol. 5(2), pages 154-174.
    • Handle: RePEc:ids:ijbeaf:v:5:y:2015:i:2:p:154-174
    as

    Download full text from publisher

    File URL: http://www.inderscience.com/link.php?id=72407
    Download Restriction: Access to full text is restricted to subscribers.
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ids:ijbeaf:v:5:y:2015:i:2:p:154-174. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sarah Parker (email available below). General contact details of provider: http://www.inderscience.com/browse/index.php?journalID=237 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.