Stock price reaction to daily limit moves: Evidence from the Taiwan stock exchange

Journal of Business Finance and Accounting

Volumn 25, Issue 3-4, 1998, Pages 469-483

  Huang, Yen Sheng ^a  

^a NATIONAL TAIWAN UNIVERSITY OF SCIENCE AND TECHNOLOGY   (Taiwan)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0038273379     PISSN: 0306686X     EISSN: 14685957     Source Type: Journal    
DOI: 10.1111/1468-5957.00198     Document Type: Article

References (15)

1. Atkins, A.B. and E.A. Dyl (1990), 'Price Reversal, Bid-Ask Spreads, and Market Efficiency', Journal of Financial and Quantitative Analysis, Vol.25, No.4 (December), pp. 535-547
2. Chan, K.C. (1988), On the Return of the Contrarian Investment Strategy', Journal of Business, Vol.61, No.2, pp. 147-163
3. Chen, C.R. and D.A. Sauer (1997), 'Is Stock Market Overreaction Persistent Over Time?', Journal of Business Finance & Accounting, Vol.24, No.1 (January), pp. 51-66.
4. DeBondt, W.F.M. and R.H. Thaler (1985), 'Does the Stock Market Overreact', Journal of Finance, Vol.40, No.3 (July), pp. 793-805.
5. - (1987), 'Further Evidence on Investor Overreaction and Stock Market Seasonality', Journal of Finance, Vol.42, No.3 (July), pp. 557-581
6. Dissanaike, G. (1997), 'Do Stock Market Investors Overreact?', Journal of Business Finance & Accounting, Vol.24, No.1 (January), pp. 27-49.
7. Huang, Y.S. (1997), 'The Size Anomaly on the Taiwan Stock Exchange', Applied Economics Letters, Vol. 4, No. 1 (January), pp. 7-12.
8. Kaul, G. and M. Nimalendran (1990), 'Price Reversals: Bid-Ask Errors or Market Overreaction?', Journal of Financial Economics, Vol. 28, No. 1/2 (November/December), pp. 67-93.
9. Lo, A. and C. MacKinlay (1988), 'Stock Prices Do Not Follow Random Walks: Evidence From a Simple Specification Test', The Review of Financial Studies, Vol.l, No. 1, pp.41-66.
10. Ma, C., R. Rao and R. Sears (1989), 'Limit Moves and Price Resolution: The Case of Treasury Bond Futures Market', Journal of Futures Markets, Vol.9, No.4 (August), pp. 321-355
11. MacDonald, R. and D. Power (1992), 'Persistence in UK Stock Market Returns: Some Evidence Using High-Frequency Data', Journal of Business Finance & Accounting, Vol.19, No.4 (June), pp.505-514
12. Power, D.M., A.A. Lonie and R. Lonie (1991), 'Some UK Evidence of Stock Market Overreaction', British Accounting Review, Vol.23 (June), pp. 27-59.
13. Scholes, M. and J. Williams (1977), 'Estimating Betas from Nonsynchronous Data', Journal of Financial Economics, Vol.5, No.3 (December), pp. 309-327
14. Zarowin, P. (1989), 'Short-run Market Overreaction: Size and Seasonality Effects', Journal of Portfolio Management, Vol.15, No.3 (Spring), pp. 26-29
15. - (1990), 'Size, Seasonality and Stock Market Overreaction', Journal of Financial and Quantitative Analysis, Vol.25, No.1 (March), pp. 113-125