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Do DOW returns really influence the intraday Spanish stock market behavior?

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  • Miralles-Quirós, José Luis
  • Daza-Izquierdo, Julio

Abstract

Although the behavior of the Spanish stock market has been studied from many different points of view, none of the previous research has ever analyzed the influence of previous daytime, overnight and daily returns from the DOW and IBEX upon 5-min intraday returns of the IBEX throughout the complete trading session. Clear evidence is provided relative to the influence of the DOW. The main finding that it underreacts to the DOW returns in the first hours of trading but overreacts during the last 2h (after the opening of the US markets) would help to develop a profitable trading strategy.

Suggested Citation

  • Miralles-Quirós, José Luis & Daza-Izquierdo, Julio, 2015. "Do DOW returns really influence the intraday Spanish stock market behavior?," Research in International Business and Finance, Elsevier, vol. 33(C), pages 99-126.
  • Handle: RePEc:eee:riibaf:v:33:y:2015:i:c:p:99-126
    DOI: 10.1016/j.ribaf.2014.07.001
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    More about this item

    Keywords

    Intraday data; Asymmetric models; Information spillovers; Overreaction; Underreaction;

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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