Chapter 10 Abnormal returns after large stock price changes: Evidence from Asia-Pacific markets

Short-term Overreaction in American Depository Receipts

“…Otchere and Chan (2003) show that stocks listed in Hong Kong tend to overreact after a large price shock. The same pattern of overreaction and reversal was found by Diacogiannis et al (2005) in a sample of Greek stocks and by Pham et al (2007) in a sample that includes Australian, Japanese and Vietnamese stocks. Lobe and Rieks (2011) report that the reaction to large price changes in German stocks is asymmetric in its intensity.…”

Testing random walk hypothesis for Istanbul stock exchange

“…On the other hand, there exist a considerable amount of studies as well advocating the random walk and market efficiency of well-known stock markets. They can be exemplified as: Chan and Gup 5th Global Business Research Congress (GBRC -2019), Vol.9-p.48-53 Tas, Guleroglu Atac _____________________________________________________________________________________________________ DOI: 10.17261/Pressacademia.2019.106349 PressAcademia Procedia (1992; Cai et al (2005); Pham et al (2007); Liu (2010); Hamid et al (2010); Onali and John (2011) and Khrapko (2013). One crucial intuition behind the conflicting findings may result from using different econometric techniques and structural breaks/time-varying nature of data sets.Even most of the quantitative studies have been conducted for mature developed markets so far because of the robust firm and country specific data for variables; emerging and frontier countries have recently got paid interest of researchers.…”