The relationship between the 52-week high of an individual stock and stock market index level: Evidence from Taiwan
AbstractThis paper examines the positive connection between the 52-week high of a stock price and its return. In addition, other reference points including 5-day high, 20-day high, and 60-day high are considered under different stock market index levels. Using firm characteristics as proxies of preference and risk, this study employs a panel model in Taiwan and found a stronger positive connection where the stock index is greater than the 52-week average, whereas a weaker positive relationship exists where the stock market index is below the 52-week average. The results imply that a conservative investor sentiment to rising stock prices exists when the stock market index is relatively low in comparison to the 52-week average.
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Bibliographic InfoArticle provided by Elsevier in its journal Journal of International Financial Markets, Institutions and Money.
Volume (Year): 21 (2011)
Issue (Month): 1 (February)
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Web page: http://www.elsevier.com/locate/intfin
Reference point Panel model Behavioral finance;
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