Open AccessReturns On Large Stock Price Declines And Increases In The South African Stock Market: A Note On Market Efficiency
Author(s) -
T. Frisch,
Sascha Kolaric,
Dirk Schiereck
Publication year - 2014
Publication title -
the international business and economic research journal/the international business and economics research journal
Language(s) - English
Resource type - Journals
eISSN - 2157-9393
pISSN - 1535-0754
DOI - 10.19030/iber.v13i3.8595
Subject(s) - economics , stock (firearms) , stock exchange , stock market , monetary economics , financial economics , stock price , stock market bubble , stock market index , efficient market hypothesis , econometrics , finance , geography , paleontology , context (archaeology) , archaeology , series (stratigraphy) , biology
This study tests for underreaction and overreaction in the South African stock market by examining abnormal returns on the stocks included in the FTSE Group Johannesburg Stock Exchange Top 40 index following large price rises and drops. The results of our empirical investigation suggest that large price increases and declines are likely to be followed by positive market returns. In addition, for the post-2008 time period the risk of these stocks increases significantly for up to two years following the original event. Therefore, the results lend further support to the Uncertain Information Hypothesis.