Abnormal returns and stock price movements: some evidence from developed and emerging markets

This paper investigates the impact of abnormal returns on stock prices by using daily and hourly data for some developed markets (United States, United Kingdom Japan) emerging (China India) over period from January 1, 2010 to 2020. Average analysis, t-tests, cumulative trading simulation methods are used test following hypotheses: can be detected before end day; there price effects day after occur; these different vis-à-vis markets; they generate profits intraday trading. The results suggest that is a two-hour window close business exploit momentum days with returns. On day, occur positive returns, contrarian (momentum) in case (emerging) negative Trading simulations show exploited an appropriate calibration timing parameters.