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Stock predictability and preceding stock price changes – evidence from central and eastern european markets

Author

Listed:
  • Liam Ison

    (University of Hull)

  • Robert Hudson

    (University of Hull)

Abstract

This paper extends the empirical evidence on stock returns after preceding price innovations using data from Central and Eastern European (CEE) markets. In contrast to many previous papers, we find no evidence of either over-reaction effects or rational adjustments to increased risk after large preceding price movements. We do, however, see strong evidence of trends in the data with price falls(rises) of all sizes being followed by subsequent price falls(rises).

Suggested Citation

  • Liam Ison & Robert Hudson, 2017. "Stock predictability and preceding stock price changes – evidence from central and eastern european markets," Economics Bulletin, AccessEcon, vol. 37(2), pages 733-740.
    • Handle: RePEc:ebl:ecbull:eb-17-00217
    as

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    File URL: http://www.accessecon.com/Pubs/EB/2017/Volume37/EB-17-V37-I2-P67.pdf
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    References listed on IDEAS

    as
    1. Amini, Shima & Hudson, Robert & Keasey, Kevin, 2010. "Stock return predictability despite low autocorrelation," Economics Letters, Elsevier, vol. 108(1), pages 101-103, July.
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    3. Amini, Shima & Gebka, Bartosz & Hudson, Robert & Keasey, Kevin, 2013. "A review of the international literature on the short term predictability of stock prices conditional on large prior price changes: Microstructure, behavioral and risk related explanations," International Review of Financial Analysis, Elsevier, vol. 26(C), pages 1-17.
    4. Brown, Keith C. & Harlow, W. V. & Tinic, Seha M., 1993. "The Risk and Required Return of Common Stock following Major Price Innovations," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 28(1), pages 101-116, March.
    5. Cox, Don R & Peterson, David R, 1994. "Stock Returns Following Large One-Day Declines: Evidence on Short-Term Reversals and Longer-Term Performance," Journal of Finance, American Finance Association, vol. 49(1), pages 255-267, March.
    6. Brown, Keith C. & Harlow, W. V. & Tinic, Seha M., 1988. "Risk aversion, uncertain information, and market efficiency," Journal of Financial Economics, Elsevier, vol. 22(2), pages 355-385, December.
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    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    Large Price Changes; Predictability; Market efficiency; Overreaction;
    All these keywords.

    JEL classification:

    • G1 - Financial Economics - - General Financial Markets
    • G2 - Financial Economics - - Financial Institutions and Services

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