Price effects after one-day abnormal returns and crises in the stock markets

Abstract

We investigate price effects after one-day abnormal returns during crises in US, Japanese, Chinese, Russian and Brazilian stock markets, using the ANOVA, Mann–Whitney, t-tests, the modified cumulative abnormal return approach, regression analysis with dummy variables, and the trading simulation approach. The results suggest that the momentum effect is the most typical case of price behaviour after the days with positive abnormal returns, especially in emerging markets in pre and post crisis periods. Interestingly the momentum effect in developed markets changes into contrarian during crisis periods. However, in emerging markets the momentum effect prevails even in crisis periods. However, the power of the detected effects is weak. These effects do not provide opportunities to beat the market and might result from prevailing positive returns in these stock markets.