Publications-Periodical Articles

Article View/Open

Publication Export

Google ScholarTM

NCCU Library

Citation Infomation

Related Publications in TAIR

題名 Large changes in stock prices: Market, liquidity, and momentum effect
作者 謝淑貞
Shieh,Shwu-Jane;Lin,Chih-Yung;Ho,Po-Hsin
貢獻者 國貿系
關鍵詞 Large change in stock price; Market and liquidity; Size and book-to-market ratio; Momentum effect
日期 2012-02
上傳時間 25-Nov-2014 11:41:54 (UTC+8)
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.
關聯 The Quarterly Review of Economics and Finance,52(2),183-197
資料類型 article
DOI http://dx.doi.org/http://dx.doi.org/10.1016/j.qref.2012.02.003
dc.contributor 國貿系en_US
dc.creator (作者) 謝淑貞zh_TW
dc.creator (作者) Shieh,Shwu-Jane;Lin,Chih-Yung;Ho,Po-Hsinen_US
dc.date (日期) 2012-02en_US
dc.date.accessioned 25-Nov-2014 11:41:54 (UTC+8)-
dc.date.available 25-Nov-2014 11:41:54 (UTC+8)-
dc.date.issued (上傳時間) 25-Nov-2014 11:41:54 (UTC+8)-
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/71656-
dc.description.abstract (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.en_US
dc.format.extent 773892 bytes-
dc.format.mimetype application/pdf-
dc.language.iso en_US-
dc.relation (關聯) The Quarterly Review of Economics and Finance,52(2),183-197en_US
dc.subject (關鍵詞) Large change in stock price; Market and liquidity; Size and book-to-market ratio; Momentum effecten_US
dc.title (題名) Large changes in stock prices: Market, liquidity, and momentum effecten_US
dc.type (資料類型) articleen
dc.identifier.doi (DOI) 10.1016/j.qref.2012.02.003en_US
dc.doi.uri (DOI) http://dx.doi.org/http://dx.doi.org/10.1016/j.qref.2012.02.003en_US