Availability heuristic and reversals following large stock price changes: Evidence from the FTSE 100

Detalhes bibliográficos
Autor(a) principal: Matos, Diogo
Data de Publicação: 2022
Outros Autores: Pacheco, Luís Miguel, Lobão, Júlio
Tipo de documento: Artigo
Idioma: eng
Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
Texto Completo: http://hdl.handle.net/11328/3934
https://doi.org/10.3934/QFE.2022003
Resumo: This paper examines if investors exhibited evidence of the availability heuristic in their investment decisions when significant price changes occurred in the British stock market during the 2010–2018 period. We raise the hypothesis that if a significant stock price move takes place on a day when the stock market index also undergoes a significant change (either positive or negative), then the magnitude of that shock may be increased by the availability of positive investment or negative outcomes. We applied three different proxies for large stock price changes which yielded a robust sample of events for this study. We found no significant evidence of the availability heuristic. In addition, we also found no significant evidence of price overreaction for both price decreases and increases. Inversely, we found robust results that suggest randomness in the behavior of stock prices in this period, thus supporting the efficiency of financial markets and opposing the results from similar studies carried out in the United States.
id RCAP_9b7a617cad1c7a79944d37de27f7505d
oai_identifier_str oai:repositorio.upt.pt:11328/3934
network_acronym_str RCAP
network_name_str Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
repository_id_str 7160
spelling Availability heuristic and reversals following large stock price changes: Evidence from the FTSE 100Large stock price changesUnited KingdomOverreactionBehavioral financeAvailability heuristicMarket efficiencyThis paper examines if investors exhibited evidence of the availability heuristic in their investment decisions when significant price changes occurred in the British stock market during the 2010–2018 period. We raise the hypothesis that if a significant stock price move takes place on a day when the stock market index also undergoes a significant change (either positive or negative), then the magnitude of that shock may be increased by the availability of positive investment or negative outcomes. We applied three different proxies for large stock price changes which yielded a robust sample of events for this study. We found no significant evidence of the availability heuristic. In addition, we also found no significant evidence of price overreaction for both price decreases and increases. Inversely, we found robust results that suggest randomness in the behavior of stock prices in this period, thus supporting the efficiency of financial markets and opposing the results from similar studies carried out in the United States.AIMS Press2022-02-18T09:51:52Z2022-02-182022-02-15T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleapplication/pdfMatos, D., Pacheco, L., & Lobão, J. (2022). Availability heuristic and reversals following large stock price changes: Evidence from the FTSE 100. Quantitative Finance and Economics, 6(1), 54-82. doi: 10.3934/QFE.2022003. Disponível no Repositório UPT, http://hdl.handle.net/11328/3934http://hdl.handle.net/11328/3934Matos, D., Pacheco, L., & Lobão, J. (2022). Availability heuristic and reversals following large stock price changes: Evidence from the FTSE 100. Quantitative Finance and Economics, 6(1), 54-82. doi: 10.3934/QFE.2022003. Disponível no Repositório UPT, http://hdl.handle.net/11328/3934http://hdl.handle.net/11328/3934https://doi.org/10.3934/QFE.2022003eng2573-0134 (Electronic)https://www.aimspress.com/article/doi/10.3934/QFE.2022003http://creativecommons.org/licenses/by/4.0/info:eu-repo/semantics/openAccessMatos, DiogoPacheco, Luís MiguelLobão, Júlioreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2023-11-16T02:11:08Zoai:repositorio.upt.pt:11328/3934Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-19T22:40:55.800496Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse
dc.title.none.fl_str_mv Availability heuristic and reversals following large stock price changes: Evidence from the FTSE 100
title Availability heuristic and reversals following large stock price changes: Evidence from the FTSE 100
spellingShingle Availability heuristic and reversals following large stock price changes: Evidence from the FTSE 100
Matos, Diogo
Large stock price changes
United Kingdom
Overreaction
Behavioral finance
Availability heuristic
Market efficiency
title_short Availability heuristic and reversals following large stock price changes: Evidence from the FTSE 100
title_full Availability heuristic and reversals following large stock price changes: Evidence from the FTSE 100
title_fullStr Availability heuristic and reversals following large stock price changes: Evidence from the FTSE 100
title_full_unstemmed Availability heuristic and reversals following large stock price changes: Evidence from the FTSE 100
title_sort Availability heuristic and reversals following large stock price changes: Evidence from the FTSE 100
author Matos, Diogo
author_facet Matos, Diogo
Pacheco, Luís Miguel
Lobão, Júlio
author_role author
author2 Pacheco, Luís Miguel
Lobão, Júlio
author2_role author
author
dc.contributor.author.fl_str_mv Matos, Diogo
Pacheco, Luís Miguel
Lobão, Júlio
dc.subject.por.fl_str_mv Large stock price changes
United Kingdom
Overreaction
Behavioral finance
Availability heuristic
Market efficiency
topic Large stock price changes
United Kingdom
Overreaction
Behavioral finance
Availability heuristic
Market efficiency
description This paper examines if investors exhibited evidence of the availability heuristic in their investment decisions when significant price changes occurred in the British stock market during the 2010–2018 period. We raise the hypothesis that if a significant stock price move takes place on a day when the stock market index also undergoes a significant change (either positive or negative), then the magnitude of that shock may be increased by the availability of positive investment or negative outcomes. We applied three different proxies for large stock price changes which yielded a robust sample of events for this study. We found no significant evidence of the availability heuristic. In addition, we also found no significant evidence of price overreaction for both price decreases and increases. Inversely, we found robust results that suggest randomness in the behavior of stock prices in this period, thus supporting the efficiency of financial markets and opposing the results from similar studies carried out in the United States.
publishDate 2022
dc.date.none.fl_str_mv 2022-02-18T09:51:52Z
2022-02-18
2022-02-15T00:00:00Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/article
format article
status_str publishedVersion
dc.identifier.uri.fl_str_mv Matos, D., Pacheco, L., & Lobão, J. (2022). Availability heuristic and reversals following large stock price changes: Evidence from the FTSE 100. Quantitative Finance and Economics, 6(1), 54-82. doi: 10.3934/QFE.2022003. Disponível no Repositório UPT, http://hdl.handle.net/11328/3934
http://hdl.handle.net/11328/3934
Matos, D., Pacheco, L., & Lobão, J. (2022). Availability heuristic and reversals following large stock price changes: Evidence from the FTSE 100. Quantitative Finance and Economics, 6(1), 54-82. doi: 10.3934/QFE.2022003. Disponível no Repositório UPT, http://hdl.handle.net/11328/3934
http://hdl.handle.net/11328/3934
https://doi.org/10.3934/QFE.2022003
identifier_str_mv Matos, D., Pacheco, L., & Lobão, J. (2022). Availability heuristic and reversals following large stock price changes: Evidence from the FTSE 100. Quantitative Finance and Economics, 6(1), 54-82. doi: 10.3934/QFE.2022003. Disponível no Repositório UPT, http://hdl.handle.net/11328/3934
url http://hdl.handle.net/11328/3934
https://doi.org/10.3934/QFE.2022003
dc.language.iso.fl_str_mv eng
language eng
dc.relation.none.fl_str_mv 2573-0134 (Electronic)
https://www.aimspress.com/article/doi/10.3934/QFE.2022003
dc.rights.driver.fl_str_mv http://creativecommons.org/licenses/by/4.0/
info:eu-repo/semantics/openAccess
rights_invalid_str_mv http://creativecommons.org/licenses/by/4.0/
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.publisher.none.fl_str_mv AIMS Press
publisher.none.fl_str_mv AIMS Press
dc.source.none.fl_str_mv reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron:RCAAP
instname_str Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron_str RCAAP
institution RCAAP
reponame_str Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
collection Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
repository.name.fl_str_mv Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
repository.mail.fl_str_mv
_version_ 1799134972522528768

Registros relacionados