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

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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File URL: http://hdl.handle.net/10.1023/A:1009625931727
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Article provided by Springer in its journal Asia-Pacific Financial Markets.

Volume (Year): 4 (1997)
Issue (Month): 2 (May)
Pages: 171-177

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Handle: RePEc:kap:apfinm:v:4:y:1997:i:2:p:171-177
Contact details of provider: Web page: http://springerlink.metapress.com/link.asp?id=102851

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  1. Brown, Keith C. & Harlow, W. V. & Tinic, Seha M., 1988. "Risk aversion, uncertain information, and market efficiency," Journal of Financial Economics, Elsevier, vol. 22(2), pages 355-385, December.
  2. Park, Jinwoo, 1995. "A Market Microstructure Explanation for Predictable Variations in Stock Returns following Large Price Changes," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 30(02), pages 241-256, June.
  3. Masulis, Ronald W., 1980. "The effects of capital structure change on security prices : A study of exchange offers," Journal of Financial Economics, Elsevier, vol. 8(2), pages 139-178, June.
  4. Brown, Stephen J. & Warner, Jerold B., 1985. "Using daily stock returns : The case of event studies," Journal of Financial Economics, Elsevier, vol. 14(1), pages 3-31, March.
  5. Brown, Stephen J. & Warner, Jerold B., 1980. "Measuring security price performance," Journal of Financial Economics, Elsevier, vol. 8(3), pages 205-258, September.
  6. De Bondt, Werner F M & Thaler, Richard, 1985. " Does the Stock Market Overreact?," Journal of Finance, American Finance Association, vol. 40(3), pages 793-805, July.
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