Overreaction of Dow stocks

Price reaction of ethically screened stocks : A study of the Dow Jones Islamic Market World Index

This paper investigates the short-term effects on the price of the ethically screened stocks of the Dow Jones Islamic Market World Index (DJIMWI) quarterly revisions. Using a sample of 8,250 stocks from May 1999 through June 2012, we find a significant price reaction of the ethically screened stocks following additions and deletions. The results show that additions (deletions) from emerging sto...

Joint forecasts of Dow Jones stocks under general multivariate loss function

When forecasts are assessed by a general loss (cost-of-error) function, the optimal point forecast is not, in general, the conditional mean, and depends on the conditional volatility – which, for stock returns, is time-varying. Our aim is to provide forecasts of daily returns of 30 DJIA stocks under a general multivariate loss function. The paper’s contributions are as follows. We discuss what ...

Bad news and Dow Jones make the Spanish stocks go round

This paper is a data-based attempt to analyse what kind of information basically affects close-to-open returns, opento-close returns, volatility and volume in actively traded individual securities on the Spanish stock market. Specifically, we are interested in detecting how these variables react to specific pieces of news considered as exogenous information. However, as volume itself could be i...

An Investigation of Overreaction via Implied Volatility and a Comparison between Tracking Stocks and Carve-Outs as a Restructuring Choice

Intraday overreaction of stock prices

We propose a concept of intraday overreaction characterized by intraday price movements which are corrected within the same trading day. It is a concept of relative overreaction in the sense that the price range within a trading day is large in comparison with the openclose return volatility. As a one-sided concept it allows to distinguish between upward and downward overreaction. A test for ov...