This paper investigates the role of the frequency of price overreactions in the cryptocurrency market in the case of … BitCoin over the period 2013-2018. Specifically, it uses a static approach to detect overreactions and then carries out … VAR models. Specifically, the hypotheses tested are whether or not the frequency of overreactions (i) is informative about …

trading simulation approach. The results suggest that hourly returns during the day of positive/negative overreactions are … significantly higher/lower than those during the average positive/negative day. Overreactions can usually be detected before the day … overreactions and ETHUSD negative overreactions) a contrarian effect is detected instead. …

This paper explores the frequency of price overreactions in the US stock market by focusing on the Dow Jones Industrial … Index over the period 1990-2017. It uses two different methods (static and dynamic) to detect overreactions and then carries … following hypotheses are tested: whether or not the frequency of overreactions varies over time (H1), is informative about …

This paper examines long-term price overreactions in various financial markets (commodities, US stock market and FOREX …). First, t-tests are carried out for overreactions as a statistical phenomenon. Second, a trading robot approach is applied to …-called “inertia anomaly”. Both weekly and monthly data are used. Evidence of anomalies is found predominantly in the case of weekly …

profit opportunities in various financial markets. A t-test confirms the presence of overreactions and also suggests that … trading robot approach is then used to test two trading strategies aimed at exploiting the detected anomalies to make abnormal … profits. The results suggest that a strategy based on counter-movements after overreactions does not generate profits in the …