Overreaction modeling of Stock Market through Intraday OHLC Prices
The Stock Market is Largely Influenced by the Flow of News and Information. In an Efficient Stock Market, Reaction of Investors to the News and Information appears to be a Correct Response. While in an Inefficient Stock Market, Reaction of Investors seems to be Overreaction or Underreaction. Neither...
| Main Authors: | , , |
|---|---|
| Format: | Article |
| Language: | fas |
| Published: |
Alzahra University
2014-06-01
|
| Series: | پژوهشهای تجربی حسابداری |
| Subjects: | |
| Online Access: | http://jera.alzahra.ac.ir/article_614_3153281b5450430052662085413e8dfa.pdf |
| _version_ | 1828452003244670976 |
|---|---|
| author | saied madadi nages barzgar mir hosein mousavi |
| author_facet | saied madadi nages barzgar mir hosein mousavi |
| author_sort | saied madadi |
| collection | DOAJ |
| description | The Stock Market is Largely Influenced by the Flow of News and Information. In an Efficient Stock Market, Reaction of Investors to the News and Information appears to be a Correct Response. While in an Inefficient Stock Market, Reaction of Investors seems to be Overreaction or Underreaction. Neither in Overreaction nor Underreaction, Stock Price is being Defined Correctly. Through Overreaction modeling of Stock Market processed by Intraday OHLC Prices, which Refer to Open, High, Low, and Close Stock Prices, it is proven that Stock Market Price shows a Geometric Brownian Motion. Then Overreaction and Underreaction is shown to be identified through recognizing the Standardized Volatility Distribution. Furthermore, Discontinuous Flow of News and Information is introduced to extend the Model with more Realistic Assumptions. Two Statistics and Hypotheses are then organized in order to test the Overreaction into good and bad News; ultimately, to ascertain the Results not affected by the Heteroscedasticity, Hypotheses need to be tested again by the Modified Statistics. |
| first_indexed | 2024-12-10T23:46:59Z |
| format | Article |
| id | doaj.art-1b3d16b146794b4bb0124d386dc9cff8 |
| institution | Directory Open Access Journal |
| issn | 2251-8509 2538-1520 |
| language | fas |
| last_indexed | 2024-12-10T23:46:59Z |
| publishDate | 2014-06-01 |
| publisher | Alzahra University |
| record_format | Article |
| series | پژوهشهای تجربی حسابداری |
| spelling | doaj.art-1b3d16b146794b4bb0124d386dc9cff82022-12-22T01:28:54ZfasAlzahra Universityپژوهشهای تجربی حسابداری2251-85092538-15202014-06-013417919610.22051/jera.2014.614614Overreaction modeling of Stock Market through Intraday OHLC Pricessaied madadi0nages barzgar1mir hosein mousavi2دانشگاه علامه طباطبائیدانشگاه الزهراءدانشگاه الزهراءThe Stock Market is Largely Influenced by the Flow of News and Information. In an Efficient Stock Market, Reaction of Investors to the News and Information appears to be a Correct Response. While in an Inefficient Stock Market, Reaction of Investors seems to be Overreaction or Underreaction. Neither in Overreaction nor Underreaction, Stock Price is being Defined Correctly. Through Overreaction modeling of Stock Market processed by Intraday OHLC Prices, which Refer to Open, High, Low, and Close Stock Prices, it is proven that Stock Market Price shows a Geometric Brownian Motion. Then Overreaction and Underreaction is shown to be identified through recognizing the Standardized Volatility Distribution. Furthermore, Discontinuous Flow of News and Information is introduced to extend the Model with more Realistic Assumptions. Two Statistics and Hypotheses are then organized in order to test the Overreaction into good and bad News; ultimately, to ascertain the Results not affected by the Heteroscedasticity, Hypotheses need to be tested again by the Modified Statistics.http://jera.alzahra.ac.ir/article_614_3153281b5450430052662085413e8dfa.pdfStock MarketOverreactionUnderreactionReturnVolatilityOHLC Prices |
| spellingShingle | saied madadi nages barzgar mir hosein mousavi Overreaction modeling of Stock Market through Intraday OHLC Prices پژوهشهای تجربی حسابداری Stock Market Overreaction Underreaction Return Volatility OHLC Prices |
| title | Overreaction modeling of Stock Market through Intraday OHLC Prices |
| title_full | Overreaction modeling of Stock Market through Intraday OHLC Prices |
| title_fullStr | Overreaction modeling of Stock Market through Intraday OHLC Prices |
| title_full_unstemmed | Overreaction modeling of Stock Market through Intraday OHLC Prices |
| title_short | Overreaction modeling of Stock Market through Intraday OHLC Prices |
| title_sort | overreaction modeling of stock market through intraday ohlc prices |
| topic | Stock Market Overreaction Underreaction Return Volatility OHLC Prices |
| url | http://jera.alzahra.ac.ir/article_614_3153281b5450430052662085413e8dfa.pdf |
| work_keys_str_mv | AT saiedmadadi overreactionmodelingofstockmarketthroughintradayohlcprices AT nagesbarzgar overreactionmodelingofstockmarketthroughintradayohlcprices AT mirhoseinmousavi overreactionmodelingofstockmarketthroughintradayohlcprices |