Please use this identifier to cite or link to this item: http://bura.brunel.ac.uk/handle/2438/14372
Title: Price gaps: another market anomaly?
Authors: Caporale, GM
Plastun, A
Keywords: price gaps;trading strategy;technical analysis;FOREX;stock market;commodities;anomaly;efficient market hypothesis
Issue Date: 2-Jul-2017
Publisher: Routledge (Taylor & Francis Group)
Citation: Caporale, G.M. and Plastun , A.(2017) 'Price gaps: Another market anomaly?', Investment Analysts Journal, 46 (4), pp. 279 - 293 (17), doi: 10.1080/10293523.2017.1333563.
Abstract: This paper analyses price gaps in financial markets also known as trading, opening, common, stock, morning gaps – all these terms being used to indicate that the current day’s opening price is not the same as the previous day’s closing price. To test for the presence of such an anomaly in price dynamics stock, FOREX and commodity market daily data are used. The sample period goes from 2000 to 2015. Applying a variety of statistical tests we test six different hypotheses and are able to show that in most cases the observed price behaviour is not inconsistent with market efficiency, the exception being the FOREX: in this case a trading strategy based on exploiting the observed anomaly can generate abnormal profits.
URI: https://bura.brunel.ac.uk/handle/2438/14372
ISSN: 1029-3523
Other Identifiers: ORCID iDs: Guglielmo Maria Caporale https://orcid.org/0000-0002-0144-4135; Alex Plastun https://orcid.org/0000-0001-8208-7135
Appears in Collections:Dept of Economics and Finance Research Papers

Files in This Item:
File Description SizeFormat 
FullText.pdfCopyright © 2017 The Author(s). Published by Informa UK Limited, trading as Taylor & Francis GroupThis is an Open Access article distributed under the terms of the Creative Commons Attribution License (https://creativecommons.org/licenses/by/4.0/),which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.1.49 MBAdobe PDFView/Open


This item is licensed under a Creative Commons License Creative Commons