Economics at your fingertips  

Abnormal Returns and Stock Price Movements: Some Evidence from Developed and Emerging Markets

Guglielmo Maria Caporale and Alex Plastun

No 8783, CESifo Working Paper Series from CESifo

Abstract: This paper investigates the impact of abnormal returns on stock prices by using daily and hourly data for some developed (US, UK, Japan) and emerging (China, India) markets over the period 01.01.2010-01.01.2020. Average analysis, t-tests, CAR and trading simulation methods are used to test the following hypotheses: H1) abnormal returns can be detected before the end of the day; H2) there are price effects on the day after abnormal returns occur; H3) these effects are different for developed vis-à-vis emerging markets; H4) they can be used to generate profits from intraday trading. The results suggest that there is a 2-hour window before close of business to exploit momentum effects on days with abnormal returns. On the following day momentum effects occur after positive abnormal returns, and contrarian (momentum) effects in the case of developed (emerging) stock markets after negative abnormal returns. Trading simulations show that some of these effects can be exploited to generate abnormal profits with an appropriate calibration of the timing parameters.

Keywords: stock market; anomalies; momentum effect; contrarian effect; abnormal returns (search for similar items in EconPapers)
JEL-codes: C63 G12 G17 (search for similar items in EconPapers)
Date: 2020
New Economics Papers: this item is included in nep-fmk
References: View references in EconPapers View complete reference list from CitEc

Downloads: (external link) (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link:

Access Statistics for this paper

More papers in CESifo Working Paper Series from CESifo Contact information at EDIRC.
Bibliographic data for series maintained by Klaus Wohlrabe ().

Page updated 2024-07-21
Handle: RePEc:ces:ceswps:_8783