2003
DOI: 10.1207/s15427579jpfm0403_5
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Short-Term Overreaction in the Hong Kong Stock Market: Can a Contrarian Trading Strategy Beat the Market?

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Cited by 49 publications
(25 citation statements)
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“…This assumption is in line with the theoretical model of Madhavan (1995). Like Otcchere and Chan (2003), he argues that although continuous markets show higher levels of price eciency during normal trading activity, they are prone to asymmetric information during periods of price uncertainty. Traditional circuit breaker, that rely on a halt, may intensify this problem as price communication is interrupted and coordination is not possible.…”
Section: Introductionsupporting
confidence: 58%
See 1 more Smart Citation
“…This assumption is in line with the theoretical model of Madhavan (1995). Like Otcchere and Chan (2003), he argues that although continuous markets show higher levels of price eciency during normal trading activity, they are prone to asymmetric information during periods of price uncertainty. Traditional circuit breaker, that rely on a halt, may intensify this problem as price communication is interrupted and coordination is not possible.…”
Section: Introductionsupporting
confidence: 58%
“…Otcchere and Chan (2003) have found short-term investors to be especially prone to price overreactions in times of market distress. Price overreactions may create undesired excessive volatility further catalyzing price uncertainty and asymmetric information (Madhavan, 1995).…”
Section: Introductionmentioning
confidence: 99%
“…Thus stocks where information diffuses slowly are more likely to reflect these behavioral biases, particularly in small-size and neglected stocks. Conflicting results for the Hong Kong stock market (before the 1997 Asian crisis) are reported by Otchere and Chan (2003) who find evidence of short-term overreaction, particularly for large-size firms. However, the abnormal returns from overreaction are economically insignificant after accounting for transaction costs.…”
Section: Price Limitsmentioning
confidence: 86%
“…For example, Otchere, and Chan (2003) examined short run overreaction hypothesis in the Hong Kong market, the study period encompassed the pre and post Asian financial crises. They found evidence of overreaction in the market prior to the Asian financial crises and that the overreaction phenomenon was more pronounced for Winners than Losers.…”
Section: Emerging Marketsmentioning
confidence: 99%