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

Shwu Jane Shieh, Chih Yung Lin, Po Hsin Ho

研究成果: 雜誌貢獻期刊論文同行評審

5 引文 斯高帕斯(Scopus)

摘要

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.

原文???core.languages.en_GB???
頁(從 - 到)183-197
頁數15
期刊Quarterly Review of Economics and Finance
52
發行號2
DOIs
出版狀態已出版 - 5月 2012

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