Investor reaction to extreme price shocks in stock markets: A cross country examination

Reaction of Stock Market Index to Oil Price Shocks

T his study examines how oil price shocks interact with the stock market index within a nonlinear autoregressive distributed lag model in Iran. Based on quarterly data for the period from 1991 to 2017, the findings revealed statistically significant evidence of short-run and long-run asymmetric behavior of stock market index in response to the positive a...

Investor sentiment effect in stock markets: Stock characteristics or country-specific factors?

Article history: Received 22 September 2011 Received in revised form 28 January 2013 Accepted 2 February 2013 Available online 9 February 2013 This paper analyzes the investor sentiment effect in four key European stock markets: France, Germany, Spain and the UK. The findings show that sentiment has a significant influence on returns, varying in intensity across markets. The variation appears t...

Price jumps in Visegrad-country stock markets: An empirical analysis

Article history: Received 21 May 2010 Received in revised form 24 January 2012 Accepted 28 January 2012 Available online 10 February 2012 We employ high frequency data to study extreme price changes (i.e., price jumps) in the Prague, Warsaw, Budapest, and Frankfurt stock market indexes from June 2003 to December 2010. We use the price jump index and normalized returns to analyze the distributio...

Universal Behavior of Extreme Price Movements in Stock Markets

Many studies assume stock prices follow a random process known as geometric Brownian motion. Although approximately correct, this model fails to explain the frequent occurrence of extreme price movements, such as stock market crashes. Using a large collection of data from three different stock markets, we present evidence that a modification to the random model--adding a slow, but significant, ...

Estimating price rigidity in coffee markets: A cross country comparison