Overreaction and Type of Information in The Stock Exchange of Thailand
Post by MSF Chula at Sunday, 10 January 2021 05:20 PM

In this paper, we investigate the events that stock price movement excess 10 percent change in a single trading day in Thailand stock market during 2011 to 2017, whether the return have reversal, or continue pattern that could implies underreaction, overreaction, or efficient market in short-term. Then, we separate event samples into two-groups. Official event, the event that coincide with the news of that specific stock cited on official SET website on the event date and unofficial event, the event that no official announcement about that specific stick appear on SET website on the event date. Firstly, the result shown reversal pattern that implies overreaction for both stock that experienced at least 10 percent price increase and decrease. Secondly, the empirical finding also indicate that, for the stock that decreasing in price, the event that coincide with official news issue experience underreaction and overreaction for unofficial. However, for the stock that increasing in price, there is no different between official and unofficial announcement. Thus, the degree of overreaction for extreme price change events are conditioned by type of information announcements.

Last updated at Sunday, 10 January 2021 05:20 PM