Do DOW returns really influence the intraday Spanish stock market behavior?

José Luis Miralles-Quirós and Julio Daza-Izquierdo
Authors registered in the RePEc Author Service: José Luis Miralles Quirós

Research in International Business and Finance, 2015, vol. 33, issue C, 99-126

Abstract: Although the behavior of the Spanish stock market has been studied from many different points of view, none of the previous research has ever analyzed the influence of previous daytime, overnight and daily returns from the DOW and IBEX upon 5-min intraday returns of the IBEX throughout the complete trading session. Clear evidence is provided relative to the influence of the DOW. The main finding that it underreacts to the DOW returns in the first hours of trading but overreacts during the last 2h (after the opening of the US markets) would help to develop a profitable trading strategy.

Keywords: Intraday data; Asymmetric models; Information spillovers; Overreaction; Underreaction (search for similar items in EconPapers)
JEL-codes: G10 G11 G14 (search for similar items in EconPapers)
Date: 2015
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Persistent link: https://EconPapers.repec.org/RePEc:eee:riibaf:v:33:y:2015:i:c:p:99-126

DOI: 10.1016/j.ribaf.2014.07.001

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