Overreaction Of Stocks In Russian Stock Market
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This paper examines whether there is a distinct trend of over or underreaction of stocks in the Russian stock market. The study also examines the factors that affect the degree of over or indirection. Stocks trading on MICEX exchange exhibit overreaction to external shocks. More liquid stocks (with higher 30days average trading volumes prior to the event) experience a smaller degree of overreaction than less liquid stocks. Attempts to overhaul the legislation that regulates stock market did not contribute to investor confidence and liquidity of stocks
Abstract
This paper examines whether there is a distinct trend of over or underreaction of stocks in the Russian stock market. The study also examines the factors that affect the degree of over or indirection. Stocks trading on MICEX exchange exhibit overreaction to external shocks. More liquid stocks (with higher 30days average trading volumes prior to the event) experience a smaller degree of overreaction than less liquid stocks. Attempts to overhaul the legislation that regulates stock market did not contribute to investor confidence and liquidity of stocks
참고문헌 (11)
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