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Please use this identifier to cite or link to this item: https://hdl.handle.net/2445/115588
Overreaction and Noise Trading
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This master thesis examines whether the opening price of a trading session is a result of overreaction generated by the interaction of noise traders. In order to study the overreaction and noise trading, we analyze the price retracement pattern of the Ibovespa futures contract. We also perform an econometric analysis, using probit and logit regressions, to see if and how the extent of price movement, volatility and trading volume affect the price retracement and consequently the overreaction. We find evidence that, the opening price is an inefficient price level result of noise trading. We also find significant effects of our considered explanatory variables: move length affects negatively, while volatility and trading volume have a positive impact on overreaction.
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Treballs Finals del Màster d'Economia, Facultat d'Economia i Empresa, Universitat de Barcelona, Curs: 2016-2017, Tutor: Vicente Royuela Mora
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PÉREZ GATTI, Diego. Overreaction and Noise Trading. [consulted: 8 of October of 2026]. Available at: https://hdl.handle.net/2445/115588