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

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  • Yen‐Sheng Huang
  • Dih‐Young Liu
  • Tze‐Wei Fu

Abstract

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.

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  • Yen‐Sheng Huang & Dih‐Young Liu & Tze‐Wei Fu, 2000. "Stock Price Behavior over Trading and Non‐trading Periods: Evidence from the Taiwan Stock Exchange," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 27(5‐6), pages 575-602, June.
    • Handle: RePEc:bla:jbfnac:v:27:y:2000:i:5-6:p:575-602
    DOI: 10.1111/1468-5957.00326
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    Cited by:

    1. Fan, Yu-Ju & Lai, Hung-Neng, 2006. "The intraday effect and the extension of trading hours for Taiwanese securities," International Review of Financial Analysis, Elsevier, vol. 15(4-5), pages 328-347.
    2. Fatima Sol Murta, 2007. "The Money Market Daily Session :an UHF-GARCH Model Applied to the Portuguese Case Before and After the Introduction Of the Minimum Reserve System of the Single Monetary Policy," Brussels Economic Review, ULB -- Universite Libre de Bruxelles, vol. 50(3), pages 285-314.

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