“…The issue of stock market overreaction is not a new one (Beaver and Landsman, 1981;DeBondt and Thaler, 1985), and two measures for large price changes have been established: firstly, daily rates of returns are greater/less than or equal to predetermined trigger values (for example, ±10%). Using this methodology, authors such as Atkins and Dyl (1990), Bremer and Sweeny (1991), Cox and Peterson (1994), Bremer et al (1997), Challet and Stinchcombe (2003), Farmer et al (2004), Weber and Rosenow (2006) and Zawadowski et al (2006), 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 44 45 46 47 48 49 50 51 52 53 54 55 56 57 58 59 all daily rates of return that were significantly greater/less than their sample mean returns of about 2.5% as large price increases/decreases over the period.…”