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Stock Price Reaction to Daily Limit Moves: Evidence From the Taiwan Stock Exchange
Author(s) -
Huang YenSheng
Publication year - 1998
Publication title -
journal of business finance and accounting
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.282
H-Index - 77
eISSN - 1468-5957
pISSN - 0306-686X
DOI - 10.1111/1468-5957.00198
Subject(s) - stock price , stock exchange , economics , limit (mathematics) , stock (firearms) , monetary economics , cost price , econometrics , financial economics , mathematics , finance , series (stratigraphy) , engineering , biology , mechanical engineering , paleontology , mathematical analysis
This paper tests the overreaction hypothesis by examining the price behavior following daily limit moves. The sample includes all listed firms on the Taiwan Stock Exchange for the period 1971—93. There are significant price reversals following the limit moves for both the up‐limit and the down‐limit cases. The price reversals cannot be attributed to the size effect. When the size effect is adjusted for, the price reversals remain significant.