Reexamining the uncertain information hypothesis on the S&amp;P 500 Index and SPDRs

Yu, Susana; Rentzler, Joel; Tandon, Kishore

doi:10.1007/s11156-009-0119-x

Cited by 7 publications

(2 citation statements)

References 15 publications

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“…The empirical results of Brown et al (1988) prove that this pattern exists in the US Market. Later studies corroborate these initial results for the US and other international markets (Ajayi & Mehdian, 1994;Schnusenberg & Madura, 2001;Yu, Rentzler, & Tandon, 2010).…”

Section: Literature Reviewsupporting

confidence: 60%

Returns On Large Stock Price Declines And Increases In The South African Stock Market: A Note On Market Efficiency

Frisch

Kolaric

Schiereck

2014

IBER

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This study tests for underreaction and overreaction in the South African stock market by examining abnormal returns on the stocks included in the FTSE Group Johannesburg Stock Exchange Top 40 index following large price rises and drops. The results of our empirical investigation suggest that large price increases and declines are likely to be followed by positive market returns. In addition, for the post-2008 time period the risk of these stocks increases significantly for up to two years following the original event. Therefore, the results lend further support to the Uncertain Information Hypothesis.

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Section: Literature Reviewsupporting

confidence: 60%

Returns On Large Stock Price Declines And Increases In The South African Stock Market: A Note On Market Efficiency

Frisch

Kolaric

Schiereck

2014

IBER

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“…Numerous other papers have subsequently confirmed these findings (see, Amini et al 2013; for a review of this literature). Many different markets have been studied including individual stocks (Zawadowski, Andor, and Kertész 2006;Lobe and Rieks 2011), stock market indices (Rezvanian, Turk, and Mehdian 2011;Yu, Rentzler, and Tandon 2010), futures markets (Fung, Mok, and Lam 2000;Grant, Wolf, and Yu 2005), government bonds (Kassimatis, Spyrou, and Galariotis 2008), commodity futures (Mazouz and Wang 2014) and cryptocurrency markets (Borgards and Czudaj 2020). The precise methodology used in this literature varies across papers as do some of the empirical findings.…”

Section: Responses To Large Price Changesmentioning

confidence: 99%

Nonlinearity everywhere: implications for empirical finance, technical analysis and value at risk

Amini

Hudson

Urquhart

et al. 2021

The European Journal of Finance

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We show that expected returns on US stocks and all major global stock market indices have a particular form of non-linear dependence on previous returns. The expected sign of returns tends to reverse after large price movements and trends tend to continue after small movements. The observed market properties are consistent with various models of investor behaviour and can be captured by a simple polynomial model. We further discuss a number of important implications of our findings. Incorrectly fitting a simple linear model to the data leads to a substantial bias in coefficient estimates. We show through the polynomial model that well-known short-term technical trading rules may be substantially driven by the non-linear behaviour observed. The behaviour also has implications for the appropriate calculation of important risk measures such as value at risk.

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