학술논문
Overreaction around DJIA Milestone Events : Evidence from an Intraday Analysis
이용수 48
- 영문명
- 발행기관
- People & Global Business Association
- 저자명
- Harikumar Sankaran Jayashree Harikumar Violeta Diaz
- 간행물 정보
- 『Global Business and Finance Review』Vol.19 No.2, 1~18쪽, 전체 18쪽
- 주제분류
- 경제경영 > 경영학
- 파일형태
- 발행일자
- 2014.12.31
4,960원
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국문 초록
영문 초록
We extend prior research by examining investor trading in individual stocks around a market level psychological anchor. We use intraday trade and quote data to examine trading in Dow component stocks around the time DJIA first crossed a millenary milestone. Prior evidence uses monthly returns and documents momentum trading around Dow 52-week high and historical highs. In spite of nine out of eleven millenary milestones in our sample that are simultaneously a Dow 52-week high and a historical high, we find that the pattern of order imbalance, spreads, and returns around milestone crossing indicates an overreaction and not momentum trading.
목차
Ⅰ. Introduction
Ⅱ. Hypothesis development
Ⅲ. Data, Variable definition, and Summary statistics
Ⅳ. Regression analysis of trading behavior around a milestone event
Ⅴ. Robustness check
Ⅵ. Conclusion
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- Overreaction around DJIA Milestone Events : Evidence from an Intraday Analysis
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