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Stock predictability and preceding stock price changes - Evidence from central and Eastern European markets

Ison, Liam; Hudson, Robert

Authors

Liam Ison

Abstract

This paper extends the empirical evidence on stock returns after preceding price innovations using data from Central and Eastern European (CEE) markets. In contrast to many previous papers, we find no evidence of either overreaction effects or rational adjustments to increased risk after large preceding price movements. We do, however, see strong evidence of trends in the data with price falls(rises) of all sizes being followed by subsequent price falls(rises).

Journal Article Type Article
Publication Date Apr 22, 2017
Journal Economics bulletin
Print ISSN 1545-2921
Electronic ISSN 1545-2921
Publisher Economics Bulletin
Peer Reviewed Peer Reviewed
Volume 37
Issue 2
Pages 733-740
Keywords Large price changes; Predictability; Market efficiency; Overreaction
Publisher URL https://ideas.repec.org/a/ebl/ecbull/eb-17-00217.html
Additional Information This is a description of an article which has been accepted for future publication in: Economics bulletin. The article itself is not yet available for consultation.

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