Impact of positive and negative price shocks on investment portfolios in selected Asian markets
This study examines portfolios returns following markets large price movements and finds that large initial price increases are followed by price continuation and mixed stocks reactions to large initial price decreases. Despite the result suggesting that retail investors are unlikely to profit from such phenomenon after considering the relevant transaction costs, it is still possible for institutional investors to exploit the profit opportunities. In addition, the result shows that both bid-ask spread and market liquidity cannot explain the price reversal observed in this study.
Fields of Research150201 Finance; 150205 Investment and Risk Management; 140210 International Economics and International Finance
TypeConference Contribution - published (Conference Paper)
© The Authors and Modelling and Simulation Society of Australia and New Zealand Inc. (MSSANZ)