English, Article, Journal or magazine article edition: Systematic Patterns Before and After Large Price Changes: Evidence from High Frequency Data from the Paris Bourse Foort HAMELINK

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Bookmark: http://trove.nla.gov.au/version/22975
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • Systematic Patterns Before and After Large Price Changes: Evidence from High Frequency Data from the Paris Bourse
Author
  • Foort HAMELINK
Physical Description
  • preprint
Notes
  • RePEc:fam:rpseri:rp6
  • : This paper examines the intra-day behavior of asset prices shortly before and after large price changes. Whereas similar studies so far have been based on daily closing price, I use three years of high frequency data of 120 stocks listed on the French stock exchange. Various systematic patterns, in addition to those often reported in the literature, emerge from this data. I find evidence that prices do overreact and that a correction takes place after a large price movement, especially those to the downside. The correction does not take place immediately after the large price change. Prior to this, some very significant and sometimes economically important patterns can be observed. When the bid-ask spread is taken into account, I still find some ex-post profitable trading strategies which are too small in magnitude to suggest market inefficiency.
  • RePEc:ebg:heccah:0655
  • This paper examines the intra-day behavior of asset prices shortly before and after large price changes. Whereas similar studies so far have been based on daily closing prices, I use three years of high frequency data of 120 stocks listed on the French stock exchange. Various systematic patterns, in addition to those often reported in the literature, emerge from this data. Evidence is found that prices do overreact and that a correction takes place after large price movements, especially those on the downside. The correction does not take place immediately after the large price change. Prior to this, some very significant and sometimes economically important patterns can be observed. When the bid-ask spread is taken into account, I still find some ex-post profitable trading strategies that are, however, too small in magnitude to suggest market inefficiency.
  • predictable patterns; large price changes; high frequency data.
  • RePEc:chf:rpseri:rp6
Language
  • English
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