Abstract
AbstractAs a specific case of the overreaction phenomenon in financial markets we observe reversals of index and future prices in periods following a suggested “qualified movement” of prices. Such a situation is indicated on the one hand by a monotone growth or decline of closing prices during three trading days. On the other hand, there are formulated stochastic conditions expressing a sufficiently improbable market situation, which is frequently compensated by a significant short‐term price reversal. Reversal measures are discussed and a case study completes the paper.
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