Do DOW returns really influence the intraday Spanish stock market behavior?

被引：0

作者：

Luis Miralles-Quiros, Jose ^{[1
]}

Daza-Izquierdo, Julio ^{[1
]}

机构：

[1] Univ Extremadura, Dept Financial Econ, Av Elvas S-n, E-06071 Badajoz, Spain

来源：

RESEARCH IN INTERNATIONAL BUSINESS AND FINANCE | 2015年 / 33卷

关键词：

Intraday data; Asymmetric models; Information spillovers; Overreaction Underreaction;

D O I：

10.1016/j.ribaf.2014.07.001

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

Although the behavior of the Spanish stock market has been studied from many different points of view, none of the previous research has ever analyzed the influence of previous daytime, overnight and daily returns from the DOW and IBEX upon 5-min intraday returns of the IBEX throughout the complete trading session. Clear evidence is provided relative to the influence of the DOW. The main finding that it underreacts to the DOW returns in the first hours of trading but overreacts during the last 2 h (after the opening of the US markets) would help to develop a profitable trading strategy. (C) 2014 Elsevier B.V. All rights reserved.

引用

页码：99 / 126

页数：28

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