Price gaps: Another market anomaly?

Please use this identifier to cite or link to this item: http://essuir.sumdu.edu.ua/handle/123456789/65434

Or use following links to share this resource in social networks: Recommend this item

Title	Price gaps: Another market anomaly?
Authors	Plastun, Oleksii Leonidovych Guglielmo, M.C.
ORCID	http://orcid.org/0000-0001-8208-7135
Keywords	цінові розриви ценовые разрывы price gaps торгова стратегія торговая стратегия trading strategy
Type	Article
Date of Issue	2017
URI	http://essuir.sumdu.edu.ua/handle/123456789/65434
Publisher	Taylor & Francis Group
License	Creative Commons Attribution 4.0 International License
Citation	Guglielmo, M.C. Price gaps: Another market anomaly? / M.C. Guglielmo, A. Plastun // Investment Analysts Journal. - 2017. - Vol. 46, №4, P. 279-293. - DOI: 10.1080/10293523.2017.1333563
Abstract	This paper analyses price gaps in financial markets, also known as trading, opening, common, stock or morning gaps – all these terms being used to indicate that the current day’s opening price is not the same as the previous day’s closing price. To test for the presence of such an anomaly in price dynamics stock, FOREX and commodity market daily data were used. The sample period went from 2000 to 2015. Applying a variety of statistical tests, we tested six different hypotheses and are able to show that in most cases the observed price behaviour is not inconsistent with market efficiency, the exception being FOREX. In this case, a trading strategy based on exploiting the observed anomaly can generate abnormal profits.
Appears in Collections:	Наукові видання (ННІ БТ)