Short-term market reaction after extreme price changes of liquid stocks

@article{Zawadowski2004ShorttermMR,
  title={Short-term market reaction after extreme price changes of liquid stocks},
  author={Adam Zawadowski and Gy{\"o}rgy Andor and J{\'a}nos Kert{\'e}sz},
  journal={Quantitative Finance},
  year={2004},
  volume={6},
  pages={283 - 295}
}
  • Adam Zawadowski, György Andor, János Kertész
  • Published 2004
  • Physics, Economics
  • Quantitative Finance
  • In our empirical study we examine the dynamics of the price evolution of liquid stocks after experiencing a large intra-day price change, using data from the NYSE and the NASDAQ. We find a significant reversal for both intra-day price decreases and increases. Volatility, volume and, in the case of the NYSE, the bid–ask spread, which increase sharply at the event, stay significantly high days afterwards. The decay of the volatility follows a power law in accordance with the `Omori law'. While on… CONTINUE READING

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