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

dc.contributor.authorPlastun, Alex
dc.contributor.authorSibande, Xolani
dc.contributor.authorGupta, Rangan
dc.contributor.authorJi, Qiang
dc.contributor.emailrangan.gupta@up.ac.zaen_US
dc.date.accessioned2024-06-12T10:22:25Z
dc.date.available2024-06-12T10:22:25Z
dc.date.issued2024-06
dc.descriptionDATA AVAILABILITY: Data will be made available on request.en_US
dc.description.abstractWe 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.en_US
dc.description.departmentEconomicsen_US
dc.description.librarianhj2024en_US
dc.description.sdgSDG-08:Decent work and economic growthen_US
dc.description.urihttp://www.elsevier.com/locate/ribafen_US
dc.identifier.citationPlastun, A., Sibande, X., Gupta, R. 2024, 'Price effects after one-day abnormal returns and crises in the stock markets', Research in International Business and Finance, vol. 70, art. 102308, pp. 1-12, doi : 10.1016/j.ribaf.2024.102308.en_US
dc.identifier.issn0275-5319 (print)
dc.identifier.other10.1016/j.ribaf.2024.102308
dc.identifier.urihttp://hdl.handle.net/2263/96437
dc.language.isoenen_US
dc.publisherElsevieren_US
dc.rights© 2024 Elsevier B.V. All rights reserved. Notice : this is the author’s version of a work that was accepted for publication in Research in International Business and Finance. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. A definitive version was subsequently published in Research in International Business and Finance, vol. 70, art. 102308, pp. 1-12, doi : 10.1016/j.ribaf.2024.102308.en_US
dc.subjectCrisisen_US
dc.subjectStock marketen_US
dc.subjectAbnormal returnsen_US
dc.subjectContrarian effecten_US
dc.subjectMomentum effecten_US
dc.subjectSDG-08: Decent work and economic growthen_US
dc.titlePrice effects after one-day abnormal returns and crises in the stock marketsen_US
dc.typePreprint Articleen_US

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