دانلود رایگان مقاله لاتین عکس العمل بیش از حد تعطیلات آخر هفته از سایت الزویر
عنوان فارسی مقاله:
اثر تقویم: عکس العمل بیش از حد تعطیلات آخر هفته (و عواقب پس از آن) در نرخ FX نقطه
عنوان انگلیسی مقاله:
A calendar effect: Weekend overreaction (and subsequent reversal) in spot FX rates
سال انتشار : 2016
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بخشی از مقاله انگلیسی:
3. Methodology
3.1. Overreaction hypothesis We test the weekend overreaction in spot FX markets using the method of a closely related study by Rentzler et al. (2006), who investigate intraday reversals in currency futures after large opening gaps (i.e. the non-trading period from the close of the previous trading day to the open of the current trading day). Because our focus is weekend overreaction, the initial extreme movements are represented by large upward and downward price changes between Friday close and subsequent Monday open (hereafter, weekend gaps). These gaps may be caused by new price-relevant information over the weekends. If there is new information over the weekends which has clear and strong implications on the exchange rates, a large gap should occur when markets open on Monday to reflect this information. McFarland et al. (1982) state that during the weekends, information flows more actively in FX than in other markets and that price changes on Monday reflect weekend events. Moreover, Rogalski (1984) finds that the well-known weekend effect in the literature indeed occurs in the non-trading period from Friday close to Monday open and may be due to information released during the weekends.3Following Rentzler et al. (2006), we define large weekend gaps as the top and bottom 5% quantile of weekend returns. More specifically, we sort the weekend returns from highest to lowest and select the highest 5% quantile as large upward gaps and the lowest 5% quantile as large downward gaps. We use a relative threshold (i.e. quantile) to define extreme returns instead of an absolute value because an absolute value may be considered extreme for one time series but may not be for another, so it is better to let the time series itself decide how extreme is extreme. To be more comprehensive, we also consider other thresholds in addition to 5%. There is a trade-off between the extremeness of the threshold and the number of observations (i.e. the number of ‘extreme return’ observations decreases when the threshold becomes more extreme and vice versa). Because we need both a reasonable number of observations and sufficiently extreme returns to study overreaction, we consider 5%, 10% and 15% thresholds. Regarding the observation horizons after the gaps, we consider one-day, three-day and one-week horizons. The returns are calculated as follows.
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کلمات کلیدی:
Crisis Management: Concepts, Methodologies, Tools, and Applications: ... https://books.google.com/books?isbn=1466647086 Management Association, Information Resources - 2013 - Technology & Engineering Stock overreaction hypothesis explains that investors overreact to some bad or good news which will be subsequently reversed. Beaver and Landsman (1981), ... Think Like the Great Investors: Make Better Decisions and Raise Your ... https://books.google.com/books?isbn=1118587170 Colin Nicholson - 2013 - Business & Economics other words, they overreacted to the latest information, tending to ignore older ... if investors systematically overreacted in this way, the subsequent reversal in ... A Simulation and Analysis of the Overreaction Hypothesis Market ... https://books.google.com/books?isbn=054956604X Marc Francis LoGrasso (Sr) - 2008 However, he also creates a reversal metric (labeled the portfolio reversal ... the winner reversal and loser reversal increases at each subsequent checkpoint. Expected Returns: An Investor's Guide to Harvesting Market Rewards https://books.google.com/books?isbn=1119990777 Antti Ilmanen - 2011 - Business & Economics ... of momentum patterns up to 12 months followed by reversal patterns beyond 12 ... Representativeness can cause overreactions and subsequent long-run ... Behavioral Finance: Investors, Corporations, and Markets https://books.google.com/books?isbn=0470769688 H. Kent Baker, John R. Nofsinger - 2010 - Business & Economics market underreaction and overreaction using trading volume and market state as a ... to private information lead to price momentum and subsequent reversals. [PDF]OVERREACTION AND UNDERREACTION IN STOCK MARKETS: A ... www.impactjournals.us/download.php?fname=2-78...OVERREACTION%20AND... by VSDASK KRISHNAKUMAR - Related articles corrected by subsequent reversals in the returns. The literature on the overreaction tests the existence of the anomaly in the developed and developing markets ...
