English  |  正體中文  |  简体中文  |  Post-Print筆數 : 20 |  Items with full text/Total items : 90058/119991 (75%)
Visitors : 24149329      Online Users : 3297
RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.
Scope Tips:
  • please add "double quotation mark" for query phrases to get precise results
  • please goto advance search for comprehansive author search
  • Adv. Search
    HomeLoginUploadHelpAboutAdminister Goto mobile version
    Please use this identifier to cite or link to this item: http://nccur.lib.nccu.edu.tw/handle/140.119/6103

    Title: The Intraday Stock Return Characteristics Surrounding Price Limit Hits
    Authors: 李志宏;周冠男
    Lee, Jie-Haun;Chou, Robin K.
    Keywords: Information asymmetry;Price limits;Pricing errors;Return dynamics
    Date: 2004
    Issue Date: 2008-11-05 16:55:29 (UTC+8)
    Abstract: We extend the existing studies on price limits by testing the return characteristics surrounding intraday price limits. We exclude limit hits that last through end of the day (interday limit hits) and consider the pre-event directions of price movements, as well as firm size. A set of stocks that experience large price changes but do not hit the limits is identified as controlled samples. Comparing the hit and non-hit samples, we show that intraday price limits do not seem to have strong influences on the return dynamics. Directions of pre-event price movements are more important in explaining the return characteristics and firm size is also found to affect the intraday return dynamics.
    Relation: Journal of Multinational Financial Management, 14(4/5), 485-501
    Data Type: article
    DOI 連結: http://dx.doi.org/10.1016/j.mulfin.2004.02.004
    DOI: 10.1016/j.mulfin.2004.02.004
    Appears in Collections:[財務管理學系] 期刊論文

    Files in This Item:

    File Description SizeFormat
    485501.pdf111KbAdobe PDF1071View/Open

    All items in 政大典藏 are protected by copyright, with all rights reserved.

    社群 sharing

    DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library IR team Copyright ©   - Feedback