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Stock Price Behavior (stock + price_behavior)

Distribution by Scientific Domains
Business, Economics, Finance and Accounting100%

Selected Abstracts

Limit Order Adjustment Mechanisms and Ex-Dividend Day Stock Price Behavior

FINANCIAL MANAGEMENT, Issue 3 2005
Keith Jakob
Unlike the NYSE, the Toronto Stock Exchange (TSX) does not adjust prices in the outstanding limit orders on ex-dividend days. We find that TSX ex-day stock price behavior differs from that on the NYSE in several key aspects. In each case, the TSX ex-day behavior is consistent with the lack of a limit order adjustment mechanism. Our findings confirm that market microstructure is an important factor that contributes to the observed Canadian ex-day price behavior. Our findings also resolve the puzzle of the relatively small ex-day price drop in Canada. [source]

Stock Price Behavior over Trading and Non-trading Periods: Evidence from the Taiwan Stock Exchange

JOURNAL OF BUSINESS FINANCE & ACCOUNTING, Issue 5-6 2000
Yen-Sheng Huang
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. [source]

Limit Order Adjustment Mechanisms and Ex-Dividend Day Stock Price Behavior

FINANCIAL MANAGEMENT, Issue 3 2005
Keith Jakob
Unlike the NYSE, the Toronto Stock Exchange (TSX) does not adjust prices in the outstanding limit orders on ex-dividend days. We find that TSX ex-day stock price behavior differs from that on the NYSE in several key aspects. In each case, the TSX ex-day behavior is consistent with the lack of a limit order adjustment mechanism. Our findings confirm that market microstructure is an important factor that contributes to the observed Canadian ex-day price behavior. Our findings also resolve the puzzle of the relatively small ex-day price drop in Canada. [source]

Stock Price Behavior over Trading and Non-trading Periods: Evidence from the Taiwan Stock Exchange

JOURNAL OF BUSINESS FINANCE & ACCOUNTING, Issue 5-6 2000
Yen-Sheng Huang
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. [source]