Stock price reaction following large one-day price changes: UK evidence

Journal of Banking and Finance

Volumn 33, Issue 8, 2009, Pages 1481-1493

  Mazouz, Khelifa ^a   Joseph, Nathan L ^b   Joulmer, Joulmer ^b  

^a BRADFORD UNIVERSITY SCHOOL OF MANAGEMENT   (United Kingdom)

^b ASTON UNIVERSITY   (United Kingdom)

Author keywords

Conditional covariances; GJR GARCH(1,1); Overreaction; Price shocks; Pricing factors; Return continuations

Indexed keywords

EID: 67349184060     PISSN: 03784266     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jbankfin.2009.02.010     Document Type: Article

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