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政大機構典藏 > 商學院 > 財務管理學系 > 期刊論文 > Item 140.119/6081

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/6081

Title:	Explaining Intraday Pattern of Trading Volume from the Order Flow Data
Authors:	李翎竹;劉玉珍
Contributors:	Lee, Yi-Tsung;Fok, Robert C.W.;Liu, Yu-Jane
Date:	2002-01
Issue Date:	2008-11-05 16:50:54 (UTC+8)
Abstract:	This study investigates long run overreaction and seasonal effects for Malaysian stocks quoted on the Kuala Lumpur Stock Exchange (KLSE), for the period 1986-1996. Stocks exhibiting extreme returns relative to the market over a three year period experience a reversal of fortunes during the following three years. There is also evidence that employing a contrarian trading strategy may yield excess returns. Of particular interest is the apparent existence of a Chinese New Year effect in both the level of market returns, and the overreaction profile for KLSE stocks. These seasonalities mirror the January-effect observed in US markets.
Relation:	Journal of Business Finance & Accounting, 28(1), 199-230
Data Type:	article
DOI 連結:	http://dx.doi.org/10.1111/1468-5957.00371
DOI:	10.1111/1468-5957.00371
Appears in Collections:	[財務管理學系] 期刊論文

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