Media type: E-Article Title: Systematic patterns before and after large price changes: evidence from high frequency data from the Paris Bourse Contributor: Hamelink, Foort Published: Wiley, 2003 Published in: Journal of Forecasting, 22 (2003) 6-7, Seite 533-549 Language: English DOI: 10.1002/for.874 ISSN: 0277-6693; 1099-131X Keywords: Management Science and Operations Research ; Statistics, Probability and Uncertainty ; Strategy and Management ; Computer Science Applications ; Modeling and Simulation ; Economics and Econometrics Origination: Footnote: Description: AbstractThis paper examines the intra‐day behaviour of asset prices shortly before and after large price changes. Whereas similar studies so far have been based on daily closing prices, I use three years of high frequency data of 120 stocks listed on the French stock exchange. Various systematic patterns, in addition to those often reported in the literature, emerge from this data. Evidence is found that prices do overreact and that a correction takes place after large price movements, especially those on the downside. The correction does not take place immediately after the large price change. Prior to this, some very significant and sometimes economically important patterns can be observed. When the bid–ask spread is taken into account, I still find some ex post profitable trading strategies that are, however, too small in magnitude to suggest market inefficiency. Copyright © 2003 John Wiley & Sons, Ltd.