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Abnormal Stock Returns Following Large One-day Advances and Declines: Evidence from Asia-Pacific Markets

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  • MICHAEL WONG

Abstract

This paper documents significant 5-day, 10-day and 20-day cumulative abnormal returns following large one-day advances/declines in some Asian emerging stock markets, such as Hong Kong, Taiwan, Singapore, Thailand, Australia and Philippines. Stock prices tend to rise after large one-day advances and fall after large one-day declines. These findings are inconsistent with DeBondt and Thaler’s (1985 and 1987) overreaction hypothesis. However, they are consistent with Cox and Peterson’s (194) find that prices of longer term (5 to 20 days) tend to decline following large price declines. Copyright Kluwer Academic Publishers 1997

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  • Michael Wong, 1997. "Abnormal Stock Returns Following Large One-day Advances and Declines: Evidence from Asia-Pacific Markets," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 4(2), pages 171-177, May.
    • Handle: RePEc:kap:apfinm:v:4:y:1997:i:2:p:171-177
    DOI: 10.1023/A:1009625931727
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    Cited by:

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    2. Jorge V. P鲥z-Rodr z & Beatriz G. L. Valcarcel, 2012. "Do product innovation and news about the R&D process produce large price changes and overreaction? The case of pharmaceutical stock prices," Applied Economics, Taylor & Francis Journals, vol. 44(17), pages 2217-2229, June.
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    5. Jacques Jaussaud & Sophie Nivoix & Serge Rey, 2015. "The Great East Japan Earthquake and Stock Prices," Economics Bulletin, AccessEcon, vol. 35(2), pages 1237-1261.
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