Stock index reaction to large price changes: Evidence from major Asian stock indexes
Tóm tắt
Từ khóa
Tài liệu tham khảo
Ajayi, 2006, A test of US equity market reaction to surprises in an era of high trading volume, Applied Financial Economics, 16, 461, 10.1080/09603100500400510
Akhigbe, 1998, Winners and losers on NYSE: a re-examination using daily closing bid-ask spreads, Journal of Financial Research, 21, 53, 10.1111/j.1475-6803.1998.tb00269.x
Atkins, 1990, Price reversals, bid-ask spreads, and market efficiency, Journal of Financial and Quantitative Analysis, 25, 535, 10.2307/2331015
Bekaert, 2005, Does financial liberalization spur growth?, Journal of Financial Economics, 77, 3, 10.1016/j.jfineco.2004.05.007
Black, 1976, Studies of stock price volatility changes, 177
Bowman, 1998, Short-run overreaction in New Zealand stock market, Pacific-Basin Finance Journal, 6, 475, 10.1016/S0927-538X(98)00021-3
Bremer, 1991, The reversal of large stock-price decreases, Journal of Finance, 46, 747, 10.2307/2328846
Bremer, 1997, Predictable patterns after large stock price changes on the Tokyo stock exchange, Journal of Financial and Quantitative Analysis, 32, 345, 10.2307/2331204
Brown, 1988, Market overreaction: magnitude and intensity, Journal of Portfolio Management, 14, 6, 10.3905/jpm.1988.409137
Brown, 1980, Measuring security price performance, Journal of Financial Economics, 8, 205, 10.1016/0304-405X(80)90002-1
Brown, 1988, Risk aversion, uncertain information, and market efficiency, Journal of Financial Economics, 22, 355, 10.1016/0304-405X(88)90075-X
Christie, 1982, The stochastic behavior of common stock variances — value, leverage and interest rate effects, Journal of Financial Economics, 10, 407, 10.1016/0304-405X(82)90018-6
Corrado, 1989, A nonparametric test for abnormal security-price performance in event studies, Journal of Financial Economics, 23, 385, 10.1016/0304-405X(89)90064-0
Cox, 1994, Stock returns following large one-day declines: evidence on short-term reversals and long-term performance, Journal of Finance, 49, 255, 10.2307/2329143
Daniel, 1998, Investor psychology and security market under- and overreactions, Journal of Finance, 53, 1839, 10.1111/0022-1082.00077
Engle, 1993, Measuring and testing the impact of news on volatility, Journal of Finance, 48, 1749, 10.2307/2329066
Engle, 1990, Meteor showers or heat waves? Heteroskedastic intra-daily volatility in the foreign exchange market, Econometrica, 58, 525, 10.2307/2938189
Fama, 1998, Market efficiency, long-term returns, and behavioral finance, Journal of Financial Economics, 49, 283, 10.1016/S0304-405X(98)00026-9
Ferri, 1996, Evidence that the market overreacts and adjusts: an undeniable feature of daily stock price movements, Journal of Portfolio management, 22, 71, 10.3905/jpm.1996.409553
French, 1987, Expected stock returns and volatility, Journal of Financial Economics, 19, 3, 10.1016/0304-405X(87)90026-2
Glosten, 1993, On the relation between the expected value and the volatility of the nominal excess return on stocks, Journal of Finance, 48, 1779, 10.2307/2329067
Howe, 1986, Evidence on stock market overreaction, Financial Analysts Journal, 42, 74, 10.2469/faj.v42.n4.74
Jegadeesh, 1993, Returns to buying winning and selling losers: implications for stock market efficiency, Journal of Finance, 48, 65, 10.2307/2328882
Kalay, 1985, Predictable events and excess returns, Journal of Financial Economics, 14, 423, 10.1016/0304-405X(85)90007-8
Karafiath, 1988, Using dummy variables in the event methodology, The Financial Review, 23, 351, 10.1111/j.1540-6288.1988.tb01273.x
Lang, 1994, Overreaction and reverse anticipation: two related puzzles?, Journal of Financial Research, 17, 31, 10.1111/j.1475-6803.1994.tb00172.x
Larson, 2003, What drives stock price behavior following extreme one-day returns?, Journal of Financial Research, 24, 113, 10.1111/1475-6803.00048
Lasfer, 2003, Short-term reaction of stock markets in stressful circumstances, Journal of Banking and Finance, 27, 1959, 10.1016/S0378-4266(02)00313-8
Lehmann, 1990, Fads, martingales, and market efficiency, Quarterly Journal of Economics, 105, 1, 10.2307/2937816
Maroney, 2004, Changing risk, returns and leverage; the 1997 Asian financial crisis, Journal of Financial and Quantitative Analysis, 39, 143, 10.1017/S0022109000003926
Park, 1995, A market microstructure explanation for predictable variations in stock returns following large price changes, Journal of Financial and Quantitative Analysis, 30, 241, 10.2307/2331119
Pesenti, 2000, The economics of currency crises and contagion: an introduction, Federal Reserve Bank of New York, Economic Policy Review, 6, 3
Pindyck, 1984, Risk, inflation, and the stock market, American Economic Review, 74, 334
Renshaw, 1984, Stock market panics: a test of the efficient market hypothesis, Financial Analysts Journal, 40, 48, 10.2469/faj.v40.n3.48
Savickas, 2003, Event-induced volatility and tests for abnormal performances, Journal of Financial Research, 26, 165, 10.1111/1475-6803.00052
Schnusenberg, 2001, Do US stock market indexes over- or underreact?, Journal of Financial Research, 24, 179, 10.1111/j.1475-6803.2001.tb00764.x