Large changes in stock prices: Market, liquidity, and momentum effect

Shwu Jane Shieh; Chih Yung Lin; Po Hsin Ho

doi:10.1016/j.qref.2012.02.003

Large changes in stock prices: Market, liquidity, and momentum effect

Shwu Jane Shieh, Chih Yung Lin, Po Hsin Ho

Department of Finance

Research output: Contribution to journal › Article › peer-review

8 Scopus citations

Abstract

This article investigates the determinants of large changes in stock prices. Empirical evidences suggest that the asymmetry phenomenon in determinants of large changes in stock prices is found in three stock exchanges. In the New York Stock Exchange (NYSE), momentum effect accounts for most of the likelihood of big gains in stock prices, while liquidity characteristics account for sharp declines of stock prices. An interesting finding is that the opposite is true for stocks traded in Amex and NASDAQ. The possible explanations of the different results in different stock exchanges may attribute to the characteristics of firms listed in these stock exchanges are different.

Original language	English
Pages (from-to)	183-197
Number of pages	15
Journal	Quarterly Review of Economics and Finance
Volume	52
Issue number	2
DOIs	https://doi.org/10.1016/j.qref.2012.02.003
State	Published - May 2012

Keywords

Large change in stock price
Market and liquidity
Momentum effect
Size and book-to-market ratio

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10.1016/j.qref.2012.02.003

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title = "Large changes in stock prices: Market, liquidity, and momentum effect",

abstract = "This article investigates the determinants of large changes in stock prices. Empirical evidences suggest that the asymmetry phenomenon in determinants of large changes in stock prices is found in three stock exchanges. In the New York Stock Exchange (NYSE), momentum effect accounts for most of the likelihood of big gains in stock prices, while liquidity characteristics account for sharp declines of stock prices. An interesting finding is that the opposite is true for stocks traded in Amex and NASDAQ. The possible explanations of the different results in different stock exchanges may attribute to the characteristics of firms listed in these stock exchanges are different.",

keywords = "Large change in stock price, Market and liquidity, Momentum effect, Size and book-to-market ratio",

author = "Shieh, {Shwu Jane} and Lin, {Chih Yung} and Ho, {Po Hsin}",

note = "Funding Information: This work was finished while Shieh was a visiting scholar at the Center for Polymer Studies, Department of Physics, Boston University. Many thanks go to Prof. Eugene Stanley. Financial support from the NSF of Taiwan is gratefully acknowledged. We appreciate a very useful comment from Prof. Campbell Harvey.",

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AB - This article investigates the determinants of large changes in stock prices. Empirical evidences suggest that the asymmetry phenomenon in determinants of large changes in stock prices is found in three stock exchanges. In the New York Stock Exchange (NYSE), momentum effect accounts for most of the likelihood of big gains in stock prices, while liquidity characteristics account for sharp declines of stock prices. An interesting finding is that the opposite is true for stocks traded in Amex and NASDAQ. The possible explanations of the different results in different stock exchanges may attribute to the characteristics of firms listed in these stock exchanges are different.

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Large changes in stock prices: Market, liquidity, and momentum effect

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Keywords

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