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Overreaction around DJIA Milestone Events: Evidence from an Intraday Analysis

Harikumar Sankaran|Jayashree Harikumar|Violeta Diaz
사람과세계경영학회 (People&Global Business Association)|2014.12|Global Business and Finance Review|제19권 제2호|pp. 1-18|DOI Http://dx.doi.org/10.17549/gbfr.2014.19.2.01

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참고문헌

키워드

Overreaction TradingDow Millenary Milestone

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.

Abstract

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.

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