Investor reaction to extreme price shocks in stock markets: A cross country examination
Abstract
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...
Paper Details
Title
Investor reaction to extreme price shocks in stock markets: A cross country examination
Published Date
Sep 1, 2019
Journal
Volume
31
Issue
3
Pages
258 - 267
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