Do DOW returns really influence the intraday Spanish stock market behavior? |
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| Institution: | 1. Nyenrode Business University, Breukelen, The Netherlands;2. Erasmus School of Economics, Erasmus University Rotterdam, Rotterdam, The Netherlands;1. University of Alicante, Ctra. San Vicente SN, E-03080 Alicante, Spain;2. Caixabank, Av. Diagonal 621, E-08028 Barcelona, Spain;1. Key Laboratory of Carbon Materials, Institute of Coal Chemistry, Chinese Academy of Sciences, Taiyuan 030001, China;2. University of Chinese Academy of Sciences, Beijing 100049, China;1. CEF.UP, Faculdade de Economia da Universidade do Porto, Porto, Portugal;2. CMVM-Portuguese Securities Commission, Lisboa, Portugal;3. CEFAGE-UE, Universidade de Évora, Évora, Portugal |
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| Abstract: | 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. |
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| Keywords: | Intraday data Asymmetric models Information spillovers Overreaction Underreaction |
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