Stock predictability and preceding stock price changes – evidence from central and eastern european markets

Liam Ison () and Robert Hudson
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Liam Ison: University of Hull

Economics Bulletin, 2017, vol. 37, issue 2, 733-740

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 over-reaction 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).

Keywords: Large Price Changes; Predictability; Market efficiency; Overreaction (search for similar items in EconPapers)
JEL-codes: G1 G2 (search for similar items in EconPapers)
Date: 2017-04-22
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