Price effects after one-day abnormal returns and crises in the stock markets

Alex Plastun, Xolani Sibande (), Rangan Gupta and Qiang Ji

Research in International Business and Finance, 2024, vol. 70, issue PA

Abstract: We investigate price effects after one-day abnormal returns during crises in US, Japanese, Chinese, Russian and Brazilian stock markets, using the ANOVA, Mann–Whitney, t-tests, the modified cumulative abnormal return approach, regression analysis with dummy variables, and the trading simulation approach. The results suggest that the momentum effect is the most typical case of price behaviour after the days with positive abnormal returns, especially in emerging markets in pre and post crisis periods. Interestingly the momentum effect in developed markets changes into contrarian during crisis periods. However, in emerging markets the momentum effect prevails even in crisis periods. However, the power of the detected effects is weak. These effects do not provide opportunities to beat the market and might result from prevailing positive returns in these stock markets.

Keywords: Momentum effect; Contrarian effect; Abnormal returns; Stock market; Crisis (search for similar items in EconPapers)
JEL-codes: C63 G12 (search for similar items in EconPapers)
Date: 2024
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Working Paper: Price Effects After One-Day Abnormal Returns and Crises in the Stock Markets (2022)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:riibaf:v:70:y:2024:i:pa:s0275531924001016

DOI: 10.1016/j.ribaf.2024.102308

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