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Price limits and overreaction in the Athens stock exchange

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Author Info
George P Diacogiannis
Nikolaos Patsalis
Nickolaos V. Tsangarakis
Emanuel D. Tsiritakis
Abstract

In this paper the phenomenon of short-term overreaction and the existence of price limits on the Athens Stock Exchange (ASE) are examined. An 8% price limit was imposed in August 1992 and remained in place until February 2000. The sample consists of 114 shares traded on the ASE for the period 1995-1998. An event study methodology is used in which the event is defined as an increase or decrease in the stock price that activates the price limit for one, two or three days. The findings confirm the occurrence of short-term overreactions on the ASE during the period under investigation.

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Publisher Info
Article provided by Taylor and Francis Journals in its journal Applied Financial Economics.

Volume (Year): 15 (2005)
Issue (Month): 1 (January)
Pages: 53-61
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Handle: RePEc:taf:apfiec:v:15:y:2005:i:1:p:53-61

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  1. Brown, Stephen J. & Warner, Jerold B., 1985. "Using daily stock returns : The case of event studies," Journal of Financial Economics, Elsevier, vol. 14(1), pages 3-31, March. [Downloadable!] (restricted)
  2. Brown, Stephen J. & Warner, Jerold B., 1980. "Measuring security price performance," Journal of Financial Economics, Elsevier, vol. 8(3), pages 205-258, September. [Downloadable!] (restricted)
  3. Kim, Kenneth & Rhee, S Ghon, 1997. " Price Limit Performance: Evidence from the Tokyo Stock Exchange," Journal of Finance, American Finance Association, vol. 52(2), pages 885-99, June. [Downloadable!] (restricted)
  4. De Bondt, Werner F M & Thaler, Richard H, 1987. " Further Evidence on Investor Overreaction and Stock Market Seasonalit y," Journal of Finance, American Finance Association, vol. 42(3), pages 557-81, July. [Downloadable!] (restricted)
  5. De Bondt, Werner F M & Thaler, Richard, 1985. " Does the Stock Market Overreact?," Journal of Finance, American Finance Association, vol. 40(3), pages 793-805, July. [Downloadable!] (restricted)
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