Short-term overreaction in a stock exchange

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Abstract


In this paper, we examine the phenomenon of Short-term
overreaction and the existence of price limits on the Tehran Stock
Exchange (TSE) which is based on a sample of listed stocks on the TSE
for the period 2003-2008. An event study methodology is used in which
the event is defined as an increase or decrease in the stock price that
activates the price limit for one, two or three days. The findings confirm
the occurrence of short-term overreactions on the TSE during the
period under investigation, and that the price reversals cannot be
attributed to the size effect.

Keywords


Overreaction, Price limits, Event study, Tehran stock exchange

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