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

Ison, Liam; Hudson, Robert

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).

Citation

Ison, L., & Hudson, R. (2017). Stock predictability and preceding stock price changes - Evidence from central and Eastern European markets. Economics Bulletin, 37(2), 733-740

• Journal Article Type: Article
• Acceptance Date: Apr 9, 2017
• Publication Date: Apr 22, 2017
• Deposit Date: Apr 23, 2017
• Publicly Available Date: Apr 23, 2017
• Journal: Economics bulletin
• Print 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
• Public URL: https://hull-repository.worktribe.com/output/450650
• 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.
• Contract Date: Apr 23, 2017