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    题名: Large changes in stock prices: Market, liquidity, and momentum effect
    作者: 謝淑貞
    Shieh,Shwu-Jane;Lin,Chih-Yung;Ho,Po-Hsin
    贡献者: 國貿系
    关键词: Large change in stock price;Market and liquidity;Size and book-to-market ratio;Momentum effect
    日期: 2012-02
    上传时间: 2014-11-25 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
    数据类型: article
    DOI 連結: http://dx.doi.org/http://dx.doi.org/10.1016/j.qref.2012.02.003
    DOI: 10.1016/j.qref.2012.02.003
    显示于类别:[國際經營與貿易學系 ] 期刊論文

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