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Price Reversals, Bid-Ask Spreads, and Market Efficiency

Citations

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Cited by:

  1. Amini, Shima & Hudson, Robert & Keasey, Kevin, 2010. "Stock return predictability despite low autocorrelation," Economics Letters, Elsevier, vol. 108(1), pages 101-103, July.
  2. Liam Ison & Robert Hudson, 2017. "Stock predictability and preceding stock price changes – evidence from central and eastern european markets," Economics Bulletin, AccessEcon, vol. 37(2), pages 733-740.
  3. Rezvanian Rasoul & Klaczynska Ewelina & Krysiak Zbigniew, 2015. "Equity Market Reaction to Sharp Price Changes: Evidence from Poland," Scientific Annals of Economics and Business, Sciendo, vol. 62(2), pages 169-190, July.
  4. Andrey Kudryavtsev, 2012. "Short-Term Stock Price Reversals May Be Reversed," International Journal of Business and Economic Sciences Applied Research (IJBESAR), International Hellenic University (IHU), Kavala Campus, Greece (formerly Eastern Macedonia and Thrace Institute of Technology - EMaTTech), vol. 5(3), pages 129-146, December.
  5. Andrey Kudryavtsev, 2021. "Stock Price Dynamics Surrounding Company-Specific Shocks," Economic Studies journal, Bulgarian Academy of Sciences - Economic Research Institute, issue 7, pages 32-45.
  6. Stefanescu, Razvan & Dumitriu, Ramona & Nistor, Costel, 2012. "Short term momentum and contrarian profits on the Bucharest Stock Exchange before and during the global crisis," MPRA Paper 42510, University Library of Munich, Germany, revised 18 Sep 2012.
  7. Guglielmo Maria Caporale & Luis Gil-Alana & Alex Plastun, 2019. "Long-term price overreactions: are markets inefficient?," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 43(4), pages 657-680, October.
  8. Savor, Pavel G., 2012. "Stock returns after major price shocks: The impact of information," Journal of Financial Economics, Elsevier, vol. 106(3), pages 635-659.
  9. Mynhardt, H. R. & Plastun, Alex, 2013. "The Overreaction Hypothesis: The Case of Ukrainian Stock Market," MPRA Paper 58941, University Library of Munich, Germany.
  10. Plastun, Alex & Sibande, Xolani & Gupta, Rangan & Wohar, Mark E., 2021. "Evolution of price effects after one-day abnormal returns in the US stock market," The North American Journal of Economics and Finance, Elsevier, vol. 57(C).
  11. Gishan Dissanaike, 1998. "Do stockmarket 'losers' win more than 'winners' lose?," Applied Economics Letters, Taylor & Francis Journals, vol. 5(3), pages 143-146.
  12. Chang, Shao-Chi & Chen, Sheng-Syan & Chou, Robin K. & Lin, Yueh-Hsiang, 2008. "Weather and intraday patterns in stock returns and trading activity," Journal of Banking & Finance, Elsevier, vol. 32(9), pages 1754-1766, September.
  13. Oral Erdogan & Ari Yezegel, 2009. "The news of no news in stock markets," Quantitative Finance, Taylor & Francis Journals, vol. 9(8), pages 897-909.
  14. Guglielmo Maria Caporale & Alex Plastun, 2019. "Price overreactions in the cryptocurrency market," Journal of Economic Studies, Emerald Group Publishing Limited, vol. 46(5), pages 1137-1155, August.
  15. Rezvanian, Rasoul & Turk, Rima A. & Mehdian, Seyed M., 2011. "Investors' reactions to sharp price changes: Evidence from equity markets of the People's Republic of China," Global Finance Journal, Elsevier, vol. 22(1), pages 1-18.
  16. Hudson, Robert S. & Gregoriou, Andros, 2015. "Calculating and comparing security returns is harder than you think: A comparison between logarithmic and simple returns," International Review of Financial Analysis, Elsevier, vol. 38(C), pages 151-162.
  17. Jorge V. P鲥z-Rodr z & Beatriz G. L. Valcarcel, 2012. "Do product innovation and news about the R&D process produce large price changes and overreaction? The case of pharmaceutical stock prices," Applied Economics, Taylor & Francis Journals, vol. 44(17), pages 2217-2229, June.
  18. AltInkIlIç, Oya & Hansen, Robert S., 2009. "On the information role of stock recommendation revisions," Journal of Accounting and Economics, Elsevier, vol. 48(1), pages 17-36, October.
  19. Andrey Kudryavtsev, 2019. "The Effect Of Trading Volumes On Stock Returns Following Large Price Moves," Economic Annals, Faculty of Economics and Business, University of Belgrade, vol. 64(220), pages 85-116, January –.
  20. Alexandre de Carvalho & Alberto Sanyuan Suen & Felippe Gallo, 2016. "Market Efficiency in Brazil: some evidence from high-frequency data," Working Papers Series 431, Central Bank of Brazil, Research Department.
  21. Cakici, Nusret & Zaremba, Adam, 2022. "Salience theory and the cross-section of stock returns: International and further evidence," Journal of Financial Economics, Elsevier, vol. 146(2), pages 689-725.
  22. Srikanth Parthasarathy & Kannadas Sendilvelu, 2022. "On Stock Return Patterns Following Large Monthly Price Movements: Empirical Evidence from India," Economic Thought journal, Bulgarian Academy of Sciences - Economic Research Institute, issue 3, pages 249-268.
  23. Jeff Madura & Nivine Richie, 2010. "Overreaction of Exchange-Traded Funds During the Bubble of 1998–2002," Chapters, in: Brian Bruce (ed.), Handbook of Behavioral Finance, chapter 5, Edward Elgar Publishing.
  24. Ana-Maria Fuertes & Dylan Thomas, 2004. "Market-wide shocks and anomalous price behaviour: evidence from closed-end funds," Money Macro and Finance (MMF) Research Group Conference 2004 56, Money Macro and Finance Research Group.
  25. Asiya Sohail & Attiya Yasmin Javid, 2014. "The Global Financial Crisis and Investors’ Behaviour; Evidence from the Karachi Stock Exchange," PIDE-Working Papers 2014:106, Pakistan Institute of Development Economics.
  26. Mazouz, Khelifa & Joseph, Nathan Lael & Palliere, Clement, 2009. "Stock index reaction to large price changes: Evidence from major Asian stock indexes," Pacific-Basin Finance Journal, Elsevier, vol. 17(4), pages 444-459, September.
  27. Trabelsi, Mohamed Ali, 2008. "Sur-réaction sur le marché tunisien des actions : une investigation empirique [Overreaction on the Tunisian stock market: an empirical test]," MPRA Paper 76925, University Library of Munich, Germany.
  28. Guglielmo Maria Caporale & Luis Gil-Alana & Alex Plastun, 2018. "Short-Term Price Overreactions: Identification, Testing, Exploitation," Computational Economics, Springer;Society for Computational Economics, vol. 51(4), pages 913-940, April.
  29. Yan Meng & Lingyun Xiong & Lijuan Xiao & Min Bai, 2023. "The effect of overseas investors on local market efficiency: evidence from the Shanghai/Shenzhen–Hong Kong Stock Connect," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 9(1), pages 1-32, December.
  30. Guglielmo Maria Caporale & Alex Plastun & Viktor Oliinyk, 2021. "The frequency of one-day abnormal returns and price fluctuations in the forex," Journal of Applied Economics, Taylor & Francis Journals, vol. 24(1), pages 401-415, January.
  31. Vinay Patel, 2015. "Price Discovery in US and Australian Stock and Options Markets," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 27, July-Dece.
  32. Ruiqi Rich Zhu & Cheng He & Yu Jeffrey Hu, 2023. "The Effect of Product Recommendations on Online Investor Behaviors," Papers 2303.14263, arXiv.org, revised Nov 2023.
  33. Pasaribu, Rowland Bismark Fernando, 2010. "Anomali Overreaction di bursa efek Indonesia: Penelitian Saham LQ-45 [Overreaction Anomaly in Indonesia Stock Exchange: Case Study of LQ-45 Stocks]," MPRA Paper 36998, University Library of Munich, Germany.
  34. Piccoli, Pedro & Chaudhury, Mo & Souza, Alceu, 2017. "How do stocks react to extreme market events? Evidence from Brazil," Research in International Business and Finance, Elsevier, vol. 42(C), pages 275-284.
  35. Achim Himmelmann & Dirk Schiereck & Marc Simpson & Moritz Zschoche, 2012. "Long-term reactions to large stock price declines and increases in the European stock market: a note on market efficiency," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 36(2), pages 400-423, April.
  36. Miwa, Kotaro, 2019. "Trading hours extension and intraday price behavior," International Review of Economics & Finance, Elsevier, vol. 64(C), pages 572-585.
  37. Dissanaike, Gishan, 1996. "Are stock price reversals really asymmetric? A note," Journal of Banking & Finance, Elsevier, vol. 20(1), pages 189-201, January.
  38. KUDRYAVTSEV Andrey, 2012. "Early To Rise: When Opening Stock Returns Are Higher Than Daily Returns?," Studies in Business and Economics, Lucian Blaga University of Sibiu, Faculty of Economic Sciences, vol. 7(3), pages 58-73, December.
  39. Trabelsi, Mohamed Ali, 2008. "Sur-réaction sur le marché tunisien des actions : une investigation empirique [Overreaction on the Tunisian stock market: an empirical test]," MPRA Paper 26751, University Library of Munich, Germany.
  40. Hisham Farag, 2014. "Investor overreaction and unobservable portfolios: evidence from an emerging market," Applied Financial Economics, Taylor & Francis Journals, vol. 24(20), pages 1313-1322, October.
  41. Andrey KUDRYAVTSEV, 2013. "Mechanism Of Autocorrelations Of Individual Stocks' Opening Returns," Review of Economic and Business Studies, Alexandru Ioan Cuza University, Faculty of Economics and Business Administration, issue 12, pages 37-56, June.
  42. Chen, Pei-wen & Huang, Han-ching & Su, Yong-chern, 2014. "The central bank in market efficiency: The case of Taiwan," Pacific-Basin Finance Journal, Elsevier, vol. 29(C), pages 239-260.
  43. Patel, Vinay & Michayluk, David, 2016. "Return predictability following different drivers of large price changes," International Review of Financial Analysis, Elsevier, vol. 45(C), pages 202-214.
  44. Foort, HAMELINK, 1998. "Systematic Patterns Before and After Large Price Changes: Evidence from High Frequency Data from the Paris Bourse," HEC Research Papers Series 655, HEC Paris.
  45. Weihong Xu, 2008. "Market Reactions to Warnings of Negative Earnings Surprises: Further Evidence," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 35(7-8), pages 818-836.
  46. repec:rfb:journl:v:09:y:2017:i:2:p:007-026 is not listed on IDEAS
  47. Zhang, Bing & Zhou, Yun, 2015. "Asymmetries in stock marketsAuthor-Name: Wang, Peijie," European Journal of Operational Research, Elsevier, vol. 241(3), pages 749-762.
  48. Steffen, Viktoria, 2023. "A literature review on extreme price movements with reversal," Journal of Behavioral and Experimental Finance, Elsevier, vol. 38(C).
  49. J. Wang & B. M. Burton & D. M. Power, 2004. "Analysis of the overreaction effect in the Chinese stock market," Applied Economics Letters, Taylor & Francis Journals, vol. 11(7), pages 437-442.
  50. Mazouz, Khelifa & Joseph, Nathan L. & Joulmer, Joulmer, 2009. "Stock price reaction following large one-day price changes: UK evidence," Journal of Banking & Finance, Elsevier, vol. 33(8), pages 1481-1493, August.
  51. Boubaker, Sabri & Farag, Hisham & Nguyen, Duc Khuong, 2015. "Short-term overreaction to specific events: Evidence from an emerging market," Research in International Business and Finance, Elsevier, vol. 35(C), pages 153-165.
  52. Andrey Kudryavtsev, 2014. "When Do Opening Stock Returns Tend to be Higher?," International Economic Journal, Taylor & Francis Journals, vol. 28(3), pages 445-458, September.
  53. Bremer, Marc & Hiraki, Takato, 1999. "Volume and individual security returns on the Tokyo Stock Exchange," Pacific-Basin Finance Journal, Elsevier, vol. 7(3-4), pages 351-370, August.
  54. Guglielmo Maria Caporale & Alex Plastun, 2018. "On the Frequency of Price Overreactions," CESifo Working Paper Series 7011, CESifo.
  55. Fung, Alexander Kwok-Wah, 1999. "Overreaction in the Hong Kong stock market," Global Finance Journal, Elsevier, vol. 10(2), pages 223-230.
  56. Ising, Jan & Schiereck, Dirk & Simpson, Marc W. & Thomas, Thomas W., 2006. "Stock returns following large 1-month declines and jumps: Evidence of overoptimism in the German market," The Quarterly Review of Economics and Finance, Elsevier, vol. 46(4), pages 598-619, September.
  57. Ran Lu-Andrews & John L. Glascock, 2017. "Liquidity, Price Behavior, and Market-related Events," Eastern Economic Journal, Palgrave Macmillan;Eastern Economic Association, vol. 43(2), pages 318-351, March.
  58. Lobe, Sebastian & Rieks, Johannes, 2011. "Short-term market overreaction on the Frankfurt stock exchange," The Quarterly Review of Economics and Finance, Elsevier, vol. 51(2), pages 113-123, May.
  59. Kotaro Miwa, 2019. "Stock Futures of a Flawed Market Index," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 26(1), pages 1-21, March.
  60. Gutierrez, Jose, 2016. "Reversal of 3-day losers and continuation of 3-day winners on the NASDAQ," Review of Financial Economics, Elsevier, vol. 30(C), pages 68-73.
  61. Chun-I Lee & Robin K. Chou & Edward S. Hsieh & Kimberly Gleason, 2012. "The role of institutions in price correction: evidence from intraday noise trading in Taiwan," Applied Financial Economics, Taylor & Francis Journals, vol. 22(24), pages 2009-2025, December.
  62. Susana Yu & Joel Rentzler & Kishore Tandon, 2010. "Reexamining the uncertain information hypothesis on the S&P 500 Index and SPDRs," Review of Quantitative Finance and Accounting, Springer, vol. 34(1), pages 1-21, January.
  63. Chiang, Chin-Han, 2014. "Stock returns on option expiration dates: Price impact of liquidity trading," Journal of Empirical Finance, Elsevier, vol. 28(C), pages 273-290.
  64. Walid Saleh, 2007. "Overreaction: the sensitivity of defining the duration of the formation period," Applied Financial Economics, Taylor & Francis Journals, vol. 17(1), pages 45-61.
  65. Shuxing Yin & Khelifa Mazouz & Abdelhafid Benamraoui & Brahim Saadouni, 2018. "Stock price reaction to profit warnings: the role of time-varying betas," Review of Quantitative Finance and Accounting, Springer, vol. 50(1), pages 67-93, January.
  66. Chordia, Tarun & Roll, Richard & Subrahmanyam, Avanidhar, 2000. "Order Imbalance, Liquidity, and Market Returns," University of California at Los Angeles, Anderson Graduate School of Management qt7gh9t9w3, Anderson Graduate School of Management, UCLA.
  67. Da, Zhi & Huang, Xing & Jin, Lawrence J., 2021. "Extrapolative beliefs in the cross-section: What can we learn from the crowds?," Journal of Financial Economics, Elsevier, vol. 140(1), pages 175-196.
  68. Gülin Vardar & Berna Okan, 2008. "Short Term Overreaction Effect: Evidence on the Turkish Stock Market," Papers of the Annual IUE-SUNY Cortland Conference in Economics, in: Oguz Esen & Ayla Ogus (ed.), Proceedings of the Conference on Emerging Economic Issues in a Globalizing World, pages 155-165, Izmir University of Economics.
  69. Andrey Kudryavtsev, 2019. "Holiday Effect on Large Stock Price Changes," Annals of Economics and Finance, Society for AEF, vol. 20(2), pages 633-660, November.
  70. Stuart Locke & Kartick Gupta, 2009. "Applicability of Contrarian Strategy in the Bombay Stock Exchange," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 8(2), pages 165-189, May.
  71. Andrey Kudryavtsev, 2017. "VIX Index and Stock Returns Following Large Price Moves," Journal of Risk & Control, Risk Market Journals, vol. 4(1), pages 71-101.
  72. Kotaro Miwa & Kazuhiro Ueda, 2016. "Price distortion induced by a flawed stock market index," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 30(2), pages 137-160, May.
  73. Amini, Shima & Gebka, Bartosz & Hudson, Robert & Keasey, Kevin, 2013. "A review of the international literature on the short term predictability of stock prices conditional on large prior price changes: Microstructure, behavioral and risk related explanations," International Review of Financial Analysis, Elsevier, vol. 26(C), pages 1-17.
  74. Vinay Patel, 2015. "Price Discovery in US and Australian Stock and Options Markets," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 6-2015, January-A.
  75. Adam Zawadowski & Gyorgy Andor & Janos Kertesz, 2006. "Short-term market reaction after extreme price changes of liquid stocks," Quantitative Finance, Taylor & Francis Journals, vol. 6(4), pages 283-295.
  76. Michael Wong, 1997. "Abnormal Stock Returns Following Large One-day Advances and Declines: Evidence from Asia-Pacific Markets," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 4(2), pages 171-177, May.
  77. Joan Wiggenhorn & Jeff Madura, 2005. "Impact of liquidity and information on the mispricing of newly public firms," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 29(2), pages 203-220, June.
  78. Kudryavtsev, Andrey, 2013. "Stock price reversals following end-of-the-day price moves," Economics Letters, Elsevier, vol. 118(1), pages 203-205.
  79. Sulaeman Rahman Nidar, 2017. "Overreaction Market Analysis, Dividend Policy, Firm Size, and Seasonality to Price Reversal Phenomena," GATR Journals afr136, Global Academy of Training and Research (GATR) Enterprise.
  80. Lee, Yi-Tsung & Liu, Yu-Jane & Roll, Richard & Subrahmanyam, Avanidhar, 2001. "Order Imbalances and Market Efficiency: Evidence from the Taiwan Stock Exchange, Forthcoming in the Journal of Financial and Quantitative Analysis," University of California at Los Angeles, Anderson Graduate School of Management qt7w8106qn, Anderson Graduate School of Management, UCLA.
  81. Mazouz, Khelifa & Wang, Jian, 2014. "Are commodity futures markets short-term efficient? An empirical investigation," 88th Annual Conference, April 9-11, 2014, AgroParisTech, Paris, France 169763, Agricultural Economics Society.
  82. Fuertes, Ana-Maria & Thomas, Dylan C., 2006. "Large market shocks and abnormal closed-end-fund price behaviour," Journal of Banking & Finance, Elsevier, vol. 30(9), pages 2517-2535, September.
  83. Pham Dan Khanh & Pham Thanh Dat & Bui Huy Nhuong, 2020. "A Re-examination of the Holiday Effect in Stock Returns: The Case of Vietnam," Edelweiss Applied Science and Technology, Learning Gate, vol. 4(1), pages 51-54.
  84. V. Boinet & A. Gregoriou & C. Ioannidis, 2008. "Nonlinear adjustment of investors' holding periods for common stocks in the presence of unobserved transactions costs: evidence from the UK equity market," Applied Financial Economics, Taylor & Francis Journals, vol. 18(15), pages 1221-1231.
  85. Dumitriu, Ramona & Stefanescu, Razvan, 2011. "Shocks on the Romanian foreign exchange market before and after the global crisis," MPRA Paper 36560, University Library of Munich, Germany, revised 09 Feb 2012.
  86. John Glascock & Ran Lu-Andrews, 2015. "The Price Behavior of REITs Surrounding Extreme Market-Related Events," The Journal of Real Estate Finance and Economics, Springer, vol. 51(4), pages 441-479, November.
  87. Andrey Kudryavtsev, 2017. ""I'll Think about it Tomorrow": Price Drifts Following Large Pre-Holiday Stock Price Moves," The Review of Finance and Banking, Academia de Studii Economice din Bucuresti, Romania / Facultatea de Finante, Asigurari, Banci si Burse de Valori / Catedra de Finante, vol. 9(2), pages 043-062, December.
  88. Manuel Ammann & Stephan Markus Kessler, 2009. "Intraday characteristics of stock price crashes," Applied Financial Economics, Taylor & Francis Journals, vol. 19(15), pages 1239-1255.
  89. Soner AKKOC & Nasif OZKAN, 2013. "An Empirical Investigation of the Uncertain Information Hypothesis: Evidence From Borsa Istanbul," Journal of BRSA Banking and Financial Markets, Banking Regulation and Supervision Agency, vol. 7(2), pages 101-119.
  90. Andrey Kudryavtsev, 2013. "Think About Tomorrow Morning: Opening Stock Returns May Show Reversals," Romanian Economic Journal, Department of International Business and Economics from the Academy of Economic Studies Bucharest, vol. 16(50), pages 51-64, December.
  91. Georgina Benou & Nivine Richie, 2003. "The reversal of large stock price declines: The case of large firms," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 27(1), pages 19-38, March.
  92. Daniel Folkinshteyn & Gulser Meric & Ilhan Meric, 2015. "Investor Reaction In Stock Market Crashes And Post-Crash Market Reversals," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, vol. 9(5), pages 57-70.
  93. Dao, Thong M. & McGroarty, Frank & Urquhart, Andrew, 2016. "A calendar effect: Weekend overreaction (and subsequent reversal) in spot FX rates," Journal of Multinational Financial Management, Elsevier, vol. 37, pages 158-167.
  94. Dyl, Edward A. & Yuksel, H. Zafer & Zaynutdinova, Gulnara R., 2019. "Price reversals and price continuations following large price movements," Journal of Business Research, Elsevier, vol. 95(C), pages 1-12.
  95. Maria Sochi & Steve Swidler, 2018. "A Test of Market Efficiency When Short Selling Is Prohibited: A Case of the Dhaka Stock Exchange," JRFM, MDPI, vol. 11(4), pages 1-17, October.
  96. Bai, Min & Qin, Yafeng & Zhang, Huiping, 2021. "Stock price crashes in emerging markets," International Review of Economics & Finance, Elsevier, vol. 72(C), pages 466-482.
  97. Trabelsi, Mohamed Ali, 2010. "Sélection de portefeuille via la stratégie de sur-réaction [Portfolio selection via the overreaction strategy]," MPRA Paper 81472, University Library of Munich, Germany, revised 2010.
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