Market Measures

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Gaps in Stock Prices

Market Measures

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We get a lot of questions on whether a stock will recover following a gap up or down. It's always tough to say, so today we look to see if there's an edge or opportunity to fading large moves (either up or down) in the market. In a previous segment (7/18/14), we examined if the market was more likely to change directions after a large price move 1 day in the future. We found that after a 2 std. dev daily move, stocks were slightly more likely to change direction the next day, however, it was still extremely close to random. Today's study takes it to the next level and considers these gaps over a longer period of time. Simply, with duration, do stocks fill the gaps of outlier moves? Check out the segment to see the results!

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