How does the Occurrence of Stock Price Reversals Following End-of-the- day Price Moves Differ in Bull and Bear Markets?

This paper uses intraday price data for 326 individual firms to examine how the occurrence of interday stock price reversals differs in bull and bear markets. We find that price reversals following the previous day’s larger high-to-close (low-to-close) price differences are more likely to occur in a bull (bear) market. Based on these findings, we find that the portfolios based on larger high-to-close price differences in the bull market, and portfolios based on smaller low-toclose price differences both in bull and bear markets are profitable investment strategies. In particularly, in bull markets, the portfolios based on smaller low-to-close price differences in the Mining and Service industries yield higher returns; in bear markets, portfolios based on smaller low-to-close price differences in Construction, Finance and Retail Trade yield higher returns