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The price adjustment and lead-lag relations between stock returns: microstructure evidence from the Taiwan stock market

  • Chiao, Chaoshin
  • Hung, Ken
  • Lee, Cheng F.
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    File URL: http://www.sciencedirect.com/science/article/B6VFG-4BYK424-1/2/94838d4b37f1f9d8a6872f1bfdd780d6
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    Article provided by Elsevier in its journal Journal of Empirical Finance.

    Volume (Year): 11 (2004)
    Issue (Month): 5 (December)
    Pages: 709-731

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    Handle: RePEc:eee:empfin:v:11:y:2004:i:5:p:709-731
    Contact details of provider: Web page: http://www.elsevier.com/locate/jempfin

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    1. Conrad, Jennifer & Kaul, Gautam, 1989. "Mean Reversion in Short-Horizon Expected Returns," Review of Financial Studies, Society for Financial Studies, vol. 2(2), pages 225-40.
    2. Orosel, Gerhard O, 1998. "Participation Costs, Trend Chasing, and Volatility of Stock Prices," Review of Financial Studies, Society for Financial Studies, vol. 11(3), pages 521-57.
    3. J. Bradford De Long & Andrei Shleifer & Lawrence H. Summers & Robert J. Waldmann, 1989. "Positive Feedback Investment Strategies and Destabilizing Rational Speculation," NBER Working Papers 2880, National Bureau of Economic Research, Inc.
    4. Cooley, Thomas F. & Leroy, Stephen F., 1985. "Atheoretical macroeconometrics: A critique," Journal of Monetary Economics, Elsevier, vol. 16(3), pages 283-308, November.
    5. Fama, Eugene F & French, Kenneth R, 1988. "Permanent and Temporary Components of Stock Prices," Journal of Political Economy, University of Chicago Press, vol. 96(2), pages 246-73, April.
    6. Hameed, Allaudeen, 1997. "Time-Varying Factors and Cross-Autocorrelations in Short-Horizon Stock Returns," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 20(4), pages 435-58, Winter.
    7. Titman, Sheridan & John Wei, K. C., 1999. "Understanding stock market volatility: The case of Korea and Taiwan," Pacific-Basin Finance Journal, Elsevier, vol. 7(1), pages 41-66, February.
    8. Andrew W. Lo, A. Craig MacKinlay, 1988. "Stock Market Prices do not Follow Random Walks: Evidence from a Simple Specification Test," Review of Financial Studies, Society for Financial Studies, vol. 1(1), pages 41-66.
    9. Tarun Chordia & Bhaskaran Swaminathan, 2000. "Trading Volume and Cross-Autocorrelations in Stock Returns," Journal of Finance, American Finance Association, vol. 55(2), pages 913-935, 04.
    10. Mech, Timothy S., 1993. "Portfolio return autocorrelation," Journal of Financial Economics, Elsevier, vol. 34(3), pages 307-344, December.
    11. Kim, Kenneth & Rhee, S Ghon, 1997. " Price Limit Performance: Evidence from the Tokyo Stock Exchange," Journal of Finance, American Finance Association, vol. 52(2), pages 885-99, June.
    12. Andrew W. Lo & A. Craig MacKinlay, 1989. "When are Contrarian Profits Due to Stock Market Overreaction?," NBER Working Papers 2977, National Bureau of Economic Research, Inc.
    13. Fargher, Neil L & Weigand, Robert A, 1998. "Changes in the Stock Price Reaction of Small Firms to Common Information," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 21(1), pages 105-21, Spring.
    14. Sias, Richard W. & Starks, Laura T., 1997. "Return autocorrelation and institutional investors," Journal of Financial Economics, Elsevier, vol. 46(1), pages 103-131, October.
    15. Chang, Eric C. & McQueen, Grant R. & Pinegar, J. Michael, 1999. "Cross-autocorrelation in Asian stock markets," Pacific-Basin Finance Journal, Elsevier, vol. 7(5), pages 471-493, December.
    16. Jegadeesh, Narasimhan & Titman, Sheridan, 1995. "Overreaction, Delayed Reaction, and Contrarian Profits," Review of Financial Studies, Society for Financial Studies, vol. 8(4), pages 973-93.
    17. Scharfstein, David. & Stein, Jeremy C., 1988. "Herd behavior and investment," Working papers WP 2062-88., Massachusetts Institute of Technology (MIT), Sloan School of Management.
    18. Jegadeesh, Narasimhan, 1990. " Evidence of Predictable Behavior of Security Returns," Journal of Finance, American Finance Association, vol. 45(3), pages 881-98, July.
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