Journal of business finance & accounting, 2000-06, Vol.27 (5-6), p.575-602
2000
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Details
- Autor(en) / Beteiligte
- Titel
- Stock Price Behavior over Trading and Non-trading Periods: Evidence from the Taiwan Stock Exchange
- Ist Teil von
- Journal of business finance & accounting, 2000-06, Vol.27 (5-6), p.575-602
- Ort / Verlag
- Oxford, UK and Boston, USA: Blackwell Publishers Ltd
- Erscheinungsjahr
- 2000
- Quelle
- Business Source Ultimate【Trial: -2024/12/31】【Remote access available】
- Beschreibungen/Notizen
- 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.
- Sprache
- Englisch
- Identifikatoren
- ISSN: 0306-686XeISSN: 1468-5957DOI: 10.1111/1468-5957.00326Titel-ID: cdi_proquest_miscellaneous_38909327
- Format
- –
- Schlagworte
- Accounting, call auction method, Capital market, dealership method, Financial economics, Hypotheses, private information hypothesis, Rates of return, return volatility, Statistical analysis, Stock exchange, Stock exchanges, Stock prices, Studies, Taiwan, Trade, trading mechanism hypothesis, Volatility