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Intraday Stock Market Behavior After Shocks: The Importance of Bull and Bear Markets in Spain

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  • Jose Luis Miralles-Marcelo
  • Jose Luis Miralles-Quiros
  • Maria del Mar Miralles-Quiros

Abstract

The stock market behavior after different shocks has been analyzed from different points of view, but none has considered, as in this work, the possibility of combining different procedures, intraday returns over six days, and different phases of the markets in the Spanish stock market. The inconclusive results that we find following the previous empirical methodologies make way to interesting results when bull and bear markets are considered. We find that positive shocks are much more important than negative shocks, especially in downward trends where we find a significant overreaction effect that can be associated with the pessimism prevailing in a bear market after the “dead cat bounce” which represents those positive shocks.

Suggested Citation

  • Jose Luis Miralles-Marcelo & Jose Luis Miralles-Quiros & Maria del Mar Miralles-Quiros, 2014. "Intraday Stock Market Behavior After Shocks: The Importance of Bull and Bear Markets in Spain," Journal of Behavioral Finance, Taylor & Francis Journals, vol. 15(2), pages 144-159, April.
    • Handle: RePEc:taf:hbhfxx:v:15:y:2014:i:2:p:144-159
    DOI: 10.1080/15427560.2014.911743
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