Large changes in stock prices: Market, liquidity, and momentum effect

NCUIR > School of Management at National Central University > Department of Finance > journal & Dissertation > Item 987654321/104925

Please use this identifier to cite or link to this item: https://ir.lib.ncu.edu.tw/handle/987654321/104925

Title:	Large changes in stock prices: Market, liquidity, and momentum effect
Authors:	何柏欣;Shieh, Shwu-Jane;Lin, Chih-Yung;Ho, Po-Hsin
Contributors:	管理學院財務金融學系
Keywords:	1994-2006;Ank�ndigungseffekt;B�rse;B�rsenkurs;Large change in stock price;Liquidity;Market and liquidity;Momentum effect;Securities trading;Size and book-to-market ratio;Stock exchanges;Stock prices;Studies;USA;Volatilit�t
Date:	2012-05-01
Issue Date:	2026-04-23 12:01:40 (UTC+8)
Publisher:	Elsevier;Greenwich: Elsevier Inc
Abstract:	摘要： ► This article investigates the determinants of large changes in stock prices. ► Market and liquidity are the most important variables explaining the big gains. ► Momentum effect mostly explains sharp declines. ► Size and book-to-market ratio have little power in explaining large changes. ► The asymmetry fact in occasions of large changes is found in three stock exchanges. 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. 出版者： Greenwich: Elsevier Inc 出版日期： 2012-05-01 出處： The Quarterly review of economics and finance, 2012-05, Vol.52 (2), p.183-197 版權： 2012 The Board of Trustees of the University of Illinois 版權： Copyright Elsevier Science Ltd. May 2012 識別號： ISSN: 1062-9769 識別號： EISSN: 1878-4259 識別號： DOI: 10.1016/j.qref.2012.02.003
Appears in Collections:	[Department of Finance] journal & Dissertation

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