European Business Schools Librarian's Group

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

HAMELINK Foort

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

JEL-codes: G12

21 pages, July 1, 1998

Full text files

f3737cf15ea6c2d7aac0ae42262a9b92.pdf PDF-file 

Download statistics

Questions (including download problems) about the papers in this series should be directed to Antoine Haldemann ()
Report other problems with accessing this service to Sune Karlsson ().

This page generated on 2018-02-22 16:52:53.