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The relationship between the 52-week high of an individual stock and stock market index level: Evidence from Taiwan

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  • Chang, Chiao-Yi
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    Abstract

    This 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 Info

    Article provided by Elsevier in its journal Journal of International Financial Markets, Institutions and Money.

    Volume (Year): 21 (2011)
    Issue (Month): 1 (February)
    Pages: 14-27

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    Handle: RePEc:eee:intfin:v:21:y:2011:i:1:p:14-27

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    Web page: http://www.elsevier.com/locate/intfin

    Related research

    Keywords: Reference point Panel model Behavioral finance;

    References

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