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16,820
Investor Herds in the Taiwanese Stock Market
, 2008
"... This paper compares four different testing methodologies designed to test the existence of investor herds. We use firm level data on 689 firms traded in the Taiwan Stock Exchange, classified into 18 different sectors. We find that the cross sectional standard deviation (CSSD) based testing methodolo ..."
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methodology, which imposes a linear relation between return dispersions and market return, fail to correctly test investor herds and yields no significant evidence of herding among Taiwanese investors. However, the non-linear model proposed by Chang et al. (2000) and the state space based models of Hwang
Tick-Size Change and Spread Components on the Taiwanese Stock Market
"... This paper investigates the effect of the decrease in tick size that occurred in the Taiwanese stock market in 2005 on spread components. Employing a methodology proposed by Lin, Sanger and Booth (1995) and using rigorous investigation techniques, this study provides a better understanding of emergi ..."
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This paper investigates the effect of the decrease in tick size that occurred in the Taiwanese stock market in 2005 on spread components. Employing a methodology proposed by Lin, Sanger and Booth (1995) and using rigorous investigation techniques, this study provides a better understanding
Insiders ’ Trading around Open Market Share Repurchases: Evidence from the Taiwanese Stock Market
"... We investigate insiders ’ trading around 554 open market repurchases in the Taiwanese stock market. Our results indicate that insiders of a repurchasing firm tend to buy their firm’s shares prior to the repurchase announcements and sell the shares after the announcements when the stock price goes up ..."
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We investigate insiders ’ trading around 554 open market repurchases in the Taiwanese stock market. Our results indicate that insiders of a repurchasing firm tend to buy their firm’s shares prior to the repurchase announcements and sell the shares after the announcements when the stock price goes
Seasonality, Disposition Effect, Reverse Disposition and Momentum: Evidence from Taiwanese Stock Market
, 2012
"... Based on weekly data, a pronounced seasonal disposition effect is found in Taiwan during the calendar period previously uncovering strong momentum in the basis of monthly data. In addition, the seasonal disposition effect subsumes the seasonal momentum, consistent with the US evidence in Grinblatt a ..."
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the disposition and reverse disposition effects conditional on volume. Moreover, taking into account long-term prior aggregate market states, the disposition effect increases with market states, whereas reverse disposition effect exhibits a contrary pattern. In addition, the disposition effect restricts to stocks
The Behaviour of Stock Market Prices
- Journal of Business
, 1965
"... prior permission, you may not download an entire issue of a journal or multiple copies of articles, and you may use content in the JSTOR archive only for your personal, non-commercial use. Please contact the publisher regarding any further use of this work. Publisher contact information may be obtai ..."
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Cited by 1210 (3 self)
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prior permission, you may not download an entire issue of a journal or multiple copies of articles, and you may use content in the JSTOR archive only for your personal, non-commercial use. Please contact the publisher regarding any further use of this work. Publisher contact information may be obtained at
The relationship between return and market value of common stocks
- Journal of Financial Economics
, 1981
"... This study examines the empirical relattonship between the return and the total market value of NYSE common stocks. It is found that smaller firms have had htgher risk adjusted returns, on average, than larger lirms. This ‘size effect ’ has been in existence for at least forty years and is evidence ..."
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Cited by 791 (0 self)
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This study examines the empirical relattonship between the return and the total market value of NYSE common stocks. It is found that smaller firms have had htgher risk adjusted returns, on average, than larger lirms. This ‘size effect ’ has been in existence for at least forty years and is evidence
Expected stock returns and volatility
- Journal of Financial Economics
, 1987
"... This paper examines the relation between stock returns and stock market volatility. We find evidence that the expected market risk premium (the expected return on a stock portfolio minus the Treasury bill yield) is positively related to the predictable volatility of stock returns. There is also evid ..."
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Cited by 716 (10 self)
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This paper examines the relation between stock returns and stock market volatility. We find evidence that the expected market risk premium (the expected return on a stock portfolio minus the Treasury bill yield) is positively related to the predictable volatility of stock returns. There is also
A Long-Memory Property of Stock Market Returns and a New Model
- Journal of Empirical Finance
, 1993
"... A ‘long memory ’ property of stock market returns is investigated in this paper. It is found that not only there is substantially more correlation between absolute returns than returns them-selves, but the power transformation of the absolute return lrfl ” also has quite high autocorrel-ation for lo ..."
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Cited by 631 (18 self)
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A ‘long memory ’ property of stock market returns is investigated in this paper. It is found that not only there is substantially more correlation between absolute returns than returns them-selves, but the power transformation of the absolute return lrfl ” also has quite high autocorrel-ation
Results 1 - 10
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16,820
