Intraday Stock Market Behavior After Shocks: The Importance of Bull and Bear Markets in Spain

Jose Luis Miralles-Marcelo, Jose Luis Miralles-Quiros and Maria del Mar Miralles-Quiros
Authors registered in the RePEc Author Service: José Luis Miralles Quirós and Jose Luis Miralles Marcelo

Journal of Behavioral Finance, 2014, vol. 15, issue 2, 144-159

Abstract: The stock market behavior after different shocks has been analyzed from different points of view, but none has considered, as in this work, the possibility of combining different procedures, intraday returns over six days, and different phases of the markets in the Spanish stock market. The inconclusive results that we find following the previous empirical methodologies make way to interesting results when bull and bear markets are considered. We find that positive shocks are much more important than negative shocks, especially in downward trends where we find a significant overreaction effect that can be associated with the pessimism prevailing in a bear market after the “dead cat bounce” which represents those positive shocks.

Date: 2014
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DOI: 10.1080/15427560.2014.911743

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