Testing the Overreaction Hypothesis in the UK Stock Market by Using Inter & Intra Industry Contrarian Strategies

2008 ◽  
Author(s):  
Angelos Pepelas
Keyword(s):  
Stock Market ◽  
Contrarian Strategies ◽  
Overreaction Hypothesis ◽  
The Uk

scholarly journals Individual Analysts Earnings Forecasts: Evidence For Overreaction In The UK Stock Market

2011 ◽  
Vol 3 (9) ◽  
Author(s):  
Dimitris F. Kenourgios ◽  
Nikolaos Pavlidis
Keyword(s):  
Stock Market ◽  
Size Effect ◽  
Empirical Research ◽  
Firm Size ◽  
Earnings Forecasts ◽  
Growth Opportunities ◽  
Investment Bank ◽  
Price Earnings Ratio ◽  
Overreaction Hypothesis ◽  
The Uk

This paper presents an analysis of two forms of overreaction (generalized overreaction and overreaction to prior earnings changes) in analysts earnings forecasts for the UK stock market, using a sample of individual forecasts of earning per share from a British investment bank over the period 1989-2002. Given that previous UK empirical research over 1980s and mid 90s has provided limited and contradictory findings, we investigate whether and how overreaction of analysts forecasts varies across forecast horizons, firm size (small and large) and growth opportunities (high and low P/E ratio) in order to provide further and comparable evidence. Overall, our findings support the generalized overreaction hypothesis but reject the firm size effect, the overreaction for high P/E ratio companies and the higher overreaction regarding the forecasting horizon. Keywords: Overreaction, Underreaction, Analysts forecasts, forecast horizons, size effect, price/earnings ratio.

scholarly journals The overreaction hypothesis: the case of Ukrainian stock market

2013 ◽  
Vol 11 (1) ◽  
pp. 406-422 ◽  
Author(s):  
Ronald Henry Mynhardt ◽  
Alexey Plastun
Keyword(s):  
Stock Market ◽  
Abnormal Returns ◽  
Original Method ◽  
Short Term ◽  
Daily Fluctuation ◽  
Price Movement ◽  
Significant Evidence ◽  
Contrarian Strategies ◽  
Daily Data ◽  
Overreaction Hypothesis

This paper examines the short-term price reactions after one-day abnormal price changes on the Ukrainian stock market. The original method of abnormal returns calculation is examined. We find significant evidence of overreactions using the daily data over the period 2008-2012. Our analysis confirms the hypothesis that after an abnormal price movement the size of contrarian price movement is usually higher then after normal (typical) daily fluctuation. Comparing Ukrainian data with the figures from US stock market it is concluded that the Ukrainian stock market is less efficient which gives rise to opportunities for extra profits obtained from trading based on contrarian strategies. Based on results of the research we also recommend some rules of trading on short-term market overreactions.

Does the UK Stock Market Overreact? Some Further Evidence for Stock Market Efficiency

2005 ◽  
Author(s):  
Arief Daynes ◽  
Panagiotis Andrikopoulos ◽  
David Latimer ◽  
Paraskevas Pagas
Keyword(s):  
Stock Market ◽  
Market Efficiency ◽  
Stock Market Efficiency ◽  
The Uk

scholarly journals Investigating the Links between UK House Prices and Share Prices with Copulas

2021 ◽  
Author(s):  
Rakesh K. Bissoondeeal ◽  
Leonidas Tsiaras
Keyword(s):  
Stock Market ◽  
House Prices ◽  
National Level ◽  
Tail Dependence ◽  
Share Prices ◽  
Property Prices ◽  
Left Tail ◽  
The Uk ◽  
The Relationship ◽  
Shared Characteristic

AbstractWe investigate the nonlinear links between the housing and stock markets in the UK using copulas. Our empirical analysis is conducted at both the national and regional levels. We also examine how closely London house prices are linked to those in other parts of the UK. We find that (i) the dependence between the different markets exhibits significant time-variation, (ii) at the national level, the relationship between house prices and the stock market is characterised by left tail dependence, i.e., they are more likely to crash, rather than boom, together, (iii) although left tail dependence with the stock market is a prominent feature of some regions, it is by no means a universally shared characteristic, (iv) the dependence between property prices in London and other parts of the UK displays widespread regional variations.

scholarly journals Profitability of Contrarian Strategies in the Chinese Stock Market

PLoS ONE ◽  
2015 ◽  
Vol 10 (9) ◽  
pp. e0137892 ◽  
Author(s):  
Huai-Long Shi ◽  
Zhi-Qiang Jiang ◽  
Wei-Xing Zhou
Keyword(s):  
Stock Market ◽  
Chinese Stock Market ◽  
Contrarian Strategies

International Portfolio Diversification Benefits among Developed and Emerging Markets within the Context of the Recent Global Financial Crisis

2014 ◽  
pp. 162-185
Author(s):  
Gülin Vardar ◽  
Berna Aydoğan ◽  
Ece Erdener Acar
Keyword(s):  
Stock Market ◽  
Emerging Markets ◽  
Global Financial Crisis ◽  
Vector Error Correction ◽  
Emerging Stock Markets ◽  
Long Run ◽  
International Investors ◽  
The Uk ◽  
Market Interdependence ◽  
The Impact

This chapter aims to examine the existence of dynamic linkages among the major emerging stock markets, namely Brazil, Hungary, China, Taiwan, Poland, and Turkey, as well as developed markets, particularly the US, the UK, and Germany during the period 2004-2013. Potential dynamic long-run interdependencies are investigated using Johansen and Juselius (1990) multivariate cointegration test and causal relationship through the Vector Error Correction Model (VECM). Moreover, to capture the impact of the recent global crisis on the cointegrating relationship among the developed and emerging markets, the sample period is divided into pre- and post-crisis sub periods. The empirical findings show that, after the crisis period, the direction of the long-run relationship varies, and furthermore, the stock market interdependence increases, supporting herding behavior of investors during the stock market crash period. Therefore, the increasing dynamic co-movements in the period after the crisis provide direct implications for the international investors due to potential limitation in the international risk diversification and the achievement of greater portfolio returns through global investment.

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