European Business Schools Librarian's Group
Home About Series Subject/JEL codes Advanced Search
HEC Paris. Research Department Les Cahiers de Recherche - HEC Paris

No 655:
Systematic Patterns Before and After Large Price Changes: Evidence from High Frequency Data from the Paris Bourse


Abstract: : This paper examines the intra-day behavior of asset prices shortly before and after large price changes. Whereas similar studies so far have been based on daily closing price, I use three years of high frequency data of 120 stocks listed on the French stock exchange. Various systematic patterns, in addition to those often reported in the literature, emerge from this data. I find evidence that prices do overreact and that a correction takes place after a large price movement, especially those to the downside. The correction does not take place immediately after the large price change. Prior to this, some very significant and sometimes economically important patterns can be observed. When the bid-ask spread is taken into account, I still find some ex-post profitable trading strategies which are too small in magnitude to suggest market inefficiency.

Keywords: predictable pattern; large price change; high frequency data; (follow links to similar papers)

JEL-Codes: G12; (follow links to similar papers)

21 pages, July 1, 1998

Before downloading any of the electronic versions below you should read our statement on copyright.
Download GhostScript for viewing Postscript files and the Acrobat Reader for viewing and printing pdf files.

Full text versions of the paper:

f3737cf15ea6c2d7aac0ae42262a9b92.pdf    PDF-file
Download Statistics

Questions (including download problems) about the papers in this series should be directed to Sandra Dupouy ()
Report other problems with accessing this service to Sune Karlsson () or Helena Lundin ().

Programing by
Design Joakim Ekebom

Handle: RePEc:ebg:heccah:0655 This page was generated on 2014-12-14 17:56:14