Summary
We document influence of nascent stock market noises on the stock price movement in an emerging market by examining behavior of three noise indicators given by spread of high and low quotes of the stock, spread of opening and previous closing prices and turnover. The results indicate that investors indeed use these noises but to a limited extent to predict future prices. We also find that there is no significant difference of behavior of noise traders during different economic conditions of the market, viz., falling and rising market conditions.
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References
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© 2006 Springer-Verlag Italia
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Bagchi, D. (2006). Noise Trading in an Emerging Market: Evidence and Analysis. In: Chatterjee, A., Chakrabarti, B.K. (eds) Econophysics of Stock and other Markets. New Economic Windows. Springer, Milano. https://doi.org/10.1007/978-88-470-0502-0_8
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DOI: https://doi.org/10.1007/978-88-470-0502-0_8
Publisher Name: Springer, Milano
Print ISBN: 978-88-470-0501-3
Online ISBN: 978-88-470-0502-0
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