Department of Information and Computer Sciences, Kanagawa Institute and Technology
SPARX Asset Management Co., Ltd. / School of Engineering, The University of Tokyo
School of Engineering, The University of Tokyo / PRESTO, JST
Fundamentals deterioration of firms due to their scandals or disasters causes the decline in their stock prices. We know empirically that stock prices rebound after they fall largely. In this paper, this trend is called the reversal phenomenon. There are some preceding researches on the issue, however, little has been explained about the market mechanism such as a market pricing mechanism in the reversal of large stock price declines. We reproduced the reversal phenomenon in the artificial market with the degree of variation of expected prices and Itayose system which is one of the stock pricing mechanisms and a kind of double auction, not with the overreaction hypothesis. On the other hand, the reversal phenomenon does not always occur in the artificial market with Zaraba system which is a kind of continuous double auction.