Business Commons^™

Much attention has been given to the momentum and reversal of individual security returns; however, relatively little research has focused on any comparable effect for overall markets. In a similar fashion, many existing studies examine short-term movements over, for example, weekly or monthly periods, yet comparatively little is known about extremely short periods (e.g., returns for a single day following a significant market move). We fill these gaps, finding that returns on days subsequent to extreme downward market-wide moves (below -1%) tend to exhibit return reversal; whereas, days following large upward moves (above 1%) generally continue with the momentum, although …