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 oc...

We investigate the relation between contrarian flows, consumption growth, and market risk premium. We construct a contrarian flows measure by summing up the capital flows to stocks that go against the total flow of the aggregate market. We show that the contrarian flows are negatively influenced by the same-quarter consumption growth. During bad times, the majority of investors who are affected...

This paper reexamines the profitability of loser, winner and contrarian portfolios in the Chinese stock market using monthly data of all stocks traded on the Shanghai Stock Exchange and Shenzhen Stock Exchange covering the period from January 1997 to December 2012. We find evidence of short-term and long-term contrarian profitability in the whole sample period when the estimation and holding ho...

Based on technological innovation and climate change, clean energy has been paid increasing attention to by worldwide investors, thereby their interest in investing firms that specialize energy. However, traditional still plays an important role nowadays, because extreme weather often occurred the winters of recent years. We thus explore whether strategies adopted diverse technical trading rule...

We introduce a simple extension of the minority game in which the market rewards contrarian (respectively, trend-following) strategies when it is far from (respectively, close to) efficiency. The model displays a smooth crossover from a regime where contrarians dominate to one where trend-followers dominate. In the intermediate phase, the stationary state is characterized by non-Gaussian featur...

We reconsider the no-tie-breaking two-state Galam contrarian model of opinion dynamics for update groups of size 3. While the initial model assumes a constant density of contrarians a for both opinions, the density now depends for each opinion on its global support. Proportionate contrarians are thus found to indeed preserve the main results of the former case. However, restricting the contrari...