Short-term reaction of stock markets in stressful circumstances
Please note that Internet Explorer version 8. Please refer to this blog post for more information. In this paper we document the short-term stock price behaviour following a period of stock market stress.
We focus on price behaviour using daily market indexes from 39 stock exchanges over the period — Our results are not consistent with the overreaction hypothesis.
We find positive negative abnormal price performance in the short-term window up to 10 days following positive negative price shocks. Our analysis also highlights differences between developed and emerging markets.
We show that the post-shock abnormal performances are significantly larger for emerging markets but that this momentum behaviour is markedly less in the late s.
We find the size of the after-shock tremors to be related to market liquidity, with larger post-shock price changes in less-liquid markets. Journals Books Register Sign in Sign in using your ScienceDirect credentials Username. Forgotten username or password? Sign in via your institution OpenAthens Other institution Recent Institutions.
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Short-term reaction of stock markets in stressful circumstances
Opens the author workspace Opens the author workspace a. Numbers and letters correspond to the affiliation list. Click to expose these in author workspace Arie Melnik. Opens the author workspace a. Click to expose these in author workspace b.
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Click to expose these in author workspace Dylan C. Click to expose these in author workspace a City University Business School, Barbican Centre, London, EC2Y 8HB, UK b Department of Economics, University of Haifa, MT Carmel, Haifa , Israel.
Abstract In this paper we document the short-term stock price behaviour following a period of stock market stress. Check if you have access through your login credentials or your institution. Elsevier About ScienceDirect Remote access Shopping cart Contact and support Terms and conditions Privacy policy. Cookies are used by this site.
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