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   · from Brunel University London, Department of Economics and Finance working paper no. 2022: https://www.brunel.ac.uk/economics-and-finance/research/pdf/2022-Dec-GMC-Abnormal-returns-in-stock-markets1.pdf   · from the SSRN website: www.SSRN.com   · from the RePEc website: www.RePEc.org  · from the CESifo website: https://www.cesifo.org/DocDL/cesifo1_wp8783.pdf (ISSN 2364-1428 - electronic version).CESifo Working Paper Series No 8783https://www.cesifo.org/DocDL/cesifo1_wp8783.pdfhttps://www.brunel.ac.uk/economics-and-finance/research/pdf/2022-Dec-GMC-Abnormal-returns-in-stock-markets1.pd

Caporale, GM

Plastun, A

The Journal of Investment Strategies

CESifo Working Paper Series No 8783This paper investigates the impact of abnormal returns on stock prices by using daily and hourly data for some developed markets (United States, United Kingdom and Japan) and emerging markets (China and India) over the period from January 1, 2010 to January 1, 2020. Average analysis, t-tests, cumulative abnormal returns and trading simulation methods are used to test the following hypotheses: abnormal returns can be detected before the end of the day; there are price effects on the day after abnormal returns occur; these effects are different for developed vis-à-vis emerging markets; they can be used to generate profits from intraday trading. The results suggest that there is a two-hour window before close of business to exploit momentum effects on days with abnormal returns. On the following day, momentum effects occur after positive abnormal returns, and contrarian (momentum) effects occur in the case of developed (emerging) stock markets after negative abnormal returns. Trading simulations show that some of these effects can be exploited to generate abnormal profits with an appropriate calibration of the timing parameters.https://www.cesifo.org/DocDL/cesifo1_wp8783.pdfhttps://www.brunel.ac.uk/economics-and-finance/research/pdf/2022-Dec-GMC-Abnormal-returns-in-stock-markets1.pd

Brunel University Research Archive

Abnormal returns and stock price movements: some evidence from developed and emerging markets

http://bura.brunel.ac.uk/bitstream/2438/24208/3/Preprint.pdf

Abnormal returns and stock price movements: some evidence from developed and emerging markets

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