Stock index reaction to large price changes: Evidence from major Asian stock indexes

Pacific Basin Finance Journal

Volumn 17, Issue 4, 2009, Pages 444-459

  Mazouz, Khelifa ^a   Joseph, Nathan Lael ^b   Palliere, Clement ^b  

^a BRADFORD UNIVERSITY SCHOOL OF MANAGEMENT   (United Kingdom)

^b ASTON UNIVERSITY   (United Kingdom)

Author keywords

Heteroscedasticity; Market efficiency; Overreaction; Return continuations; Uncertainty information hypothesis

Indexed keywords

EID: 67349120574     PISSN: 0927538X     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.pacfin.2008.11.001     Document Type: Article

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