Please use this identifier to cite or link to this item: http://hdl.handle.net/11328/3934
Title: Availability heuristic and reversals following large stock price changes: Evidence from the FTSE 100
Authors: Matos, Diogo
Pacheco, Luís Miguel
Lobão, Júlio
Keywords: Large stock price changes
United Kingdom
Overreaction
Behavioral finance
Availability heuristic
Market efficiency
Issue Date: 15-Feb-2022
Publisher: AIMS Press
Citation: 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
Abstract: 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.
URI: http://hdl.handle.net/11328/3934
ISSN: 2573-0134 (Electronic)
Appears in Collections:REMIT – Artigos em Revistas Internacionais / Papers in International Journals

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