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Stock Price Behavior over Trading and Non‐trading Periods: Evidence from the Taiwan Stock Exchange
Author(s) -
Huang YenSheng,
Liu DihYoung,
Fu TzeWei
Publication year - 2000
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 - 10.1111/1468-5957.00326
Subject(s) - open outcry , algorithmic trading , alternative trading system , volume weighted average price , stock exchange , trading strategy , financial economics , stock (firearms) , pairs trade , economics , stock trading , flash trading , monetary economics , business , stock price , cost price , stock market , finance , mechanical engineering , paleontology , horse , engineering , biology , series (stratigraphy)
This paper examines the stock price behavior in the trading and non‐trading periods for stocks listed on the Taiwan Stock Exchange over 1971‐96. The results indicate that the trading‐time return variances are higher than the non‐trading‐time return variances especially for the larger trading‐volume quintiles. This result is consistent with the private information hypothesis. Moreover, open‐to‐open return variances are higher than close‐to‐close return variances. Since both the opening and the closing transactions are conducted by the call auction procedure, the results are consistent with the trading halt hypothesis but not with the trading mechanism hypothesis.