English, Article edition: Intraday characteristics of stock price crashes Manuel Ammann; Stephan Markus Kessler

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Bookmark: http://trove.nla.gov.au/version/50175
Physical Description
  • article
Language
  • English

Edition details

Title
  • Intraday characteristics of stock price crashes
Author
  • Manuel Ammann
  • Stephan Markus Kessler
Physical Description
  • article
Notes
  • This article presents the first detailed analysis of the intraday characteristics of idiosyncratic stock price crashes. The analysis focuses on the impact of large crashes in single stocks on their intraday returns and liquidity in the US market. Furthermore, optimal intradaily behaviour during crashes is studied. Crashes are found to happen rather quickly, usually during a time interval of a few hours. In general, a strong increase in trading activity is observed during a crash, indicating that investors are able to sell their stocks even in distressed markets. The level of liquidity change is linked to the size of the crash. However, there is little evidence that the large sales volume during a crash drives down stock prices. After a stock price crash a significant momentum effect is found for several hours. Stock price crashes appear to reduce information asymmetries.
  • RePEc:taf:apfiec:v:19:y:2009:i:15:p:1239-1255
Language
  • English
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