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    Title: Large changes in stock prices: Market, liquidity, and momentum effect
    Authors: 謝淑貞
    Shieh,Shwu-Jane;Lin,Chih-Yung;Ho,Po-Hsin
    Contributors: 國貿系
    Keywords: Large change in stock price;Market and liquidity;Size and book-to-market ratio;Momentum effect
    Date: 2012-02
    Issue Date: 2014-11-25 11:41:54 (UTC+8)
    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.
    Relation: The Quarterly Review of Economics and Finance,52(2),183-197
    Data Type: article
    DOI link: http://dx.doi.org/http://dx.doi.org/10.1016/j.qref.2012.02.003
    DOI: 10.1016/j.qref.2012.02.003
    Appears in Collections:[Department of International Business ] Periodical Articles

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