Peer-Reviewed Journal Details
Mandatory Fields
Berk, AS;Cummins, M;Dowling, M;Lucey, BM
2017
July
Journal of International Financial Markets, Institutions and Money
Psychological price barriers in frontier equities
Published
4 ()
Optional Fields
BID-ASK SPREAD STOCK-MARKET EXPECTED RETURNS CROSS-SECTION MOMENTUM DIVERSIFICATION ANNOUNCEMENTS COGNITION CULTURE NUMBERS
49
1
14
Psychological barriers are shown to be a feature in frontier market equity pricing. Using MSCI Frontier 100 index constituents; prices, upon breaching an upward or downward psychologically important price point, generally follow predictable patterns in the days after such a breach. It is demonstrated that certain characteristics of frontier markets drive the presence of this relationship. There are regional effects, and also cultural influences as measured by country individualism scores. Liquidity also appears to mediate the presence of psychological barriers. This constitutes a first study of behavioral influences in these fast-growing markets that are being increasingly recognised as an asset class with strong diversification benefits for investors previously restricted to developed and emerging equity markets. (C) 2016 Published by Elsevier B.V.
AMSTERDAM
1042-4431
10.1016/j.intfin.2016.11.007
Grant Details