We examine investors' reactions to extreme price changes in Chinese equity markets to uncover patterns of price formation. We compare the price behavior and volatility of "A" and "B" shares in both the Shanghai and Shenzhen markets within a 30-day window following the arrival of new information...

We investigate investor reaction to the arrival of unexpected information in Turkey from 1997 to 2004. Daily stock returns are used to test two behavioral hypotheses regarding investor reaction to news: The Overreaction Hypothesis (OH) and the Uncertain Information Hypothesis (UIH). We find no...