Asymmetric Reaction to Information and Serial Dependence of Short-run Returns

Pablo Marshall and Eduardo Walker ()
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Pablo Marshall: Pontificia Universidad Católica de Chile, http://www.eadmpuc.cl/framearea.asp?cod=23

Journal of Applied Economics, 2002, vol. 5, 273-292

Abstract: This paper studies the daily stock price reaction to new information of portfolios grouped by size quintiles. To that end, cross-correlations, autocorrelations and Dimson beta regressions are analyzed. Based on a sample of shares traded in the Santiago de Chile Stock Exchange for the 1991-1998 period, results show that larger company stock prices –as measured by market capitalization– react to both good and bad news sooner than the smaller ones do. Thus a crossed effect appears, although not as a cascade: only the prices of large firms react earlier than the rest. These effects do not seem to be caused by non-trading. There also are significant asymmetric lagged and cross-effects. Good news has a more pronounced lagged effect than bad news does.

Keywords: efficient market hypothesis; cross-serial autocorrelation; emerging markets (search for similar items in EconPapers)
JEL-codes: G12 G15 (search for similar items in EconPapers)
Date: 2002
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Citations: View citations in EconPapers (4)

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Journal Article: Asymmetric Reaction to Information and Serial Dependence of Short-run Returns (2002)
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Persistent link: https://EconPapers.repec.org/RePEc:cem:jaecon:v:5:y:2002:n:2:p:273-292

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