题名

Asymmetric Reaction in the Taiwan Stock Market: Overreaction to Bad News and Underreaction to Good News

DOI

10.6160/2005.12.09

作者

Mei-Chen Lin

关键词

overreaction ； underreaction ； size effect ； January effect ； and February effect

期刊名称

中山管理評論

卷期/出版年月

13卷4S期（2005 / 12 / 01）

页次

7 - 39

内容语文

英文
英文摘要

This paper examines the behavior of the Taiwan stock market after a large price change during a single trading day and finds that the Taiwan stock market appears to underreact to good news and overreact to bad news. Though the January and February effects, and the difference in risk can partially explain the profits of losers and winners, the over-or underreaction effects cannot be completely subsumed under them. Market's underreaction to good news tends to better characterize the return continuation and market's overreaction to bad news is a proper explanation for the reversal pattern, a result consistent with the uncertain information hypothesis proposed by Brown, Harlow, and Tinic (1988).
主题分类 社會科學 > 管理學
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被引用次数
  1. Lin, Mei-Chen(2009).Price Limits and Characteristics of Stocks: Empirical Evidence from Taiwan.Asia Pacific Management Review(亞太管理評論),14(2),193-214.
  2. 蔡侑達、陳瑞璽、洪碧霞(2015)。公開資訊觀測站訊息如何影響股票報酬?臺灣股票市場日內及日間資料分析。證券市場發展季刊，27(2)，125-184。
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