Stock Price Reaction to Daily Limit Moves: Evidence From the Taiwan Stock Exchange

Yen‐Sheng Huang

Journal of Business Finance & Accounting, 1998, vol. 25, issue 3‐4, 469-483

Abstract: This paper tests the overreaction hypothesis by examining the price behavior following daily limit moves. The sample includes all listed firms on the Taiwan Stock Exchange for the period 1971—93. There are significant price reversals following the limit moves for both the up‐limit and the down‐limit cases. The price reversals cannot be attributed to the size effect. When the size effect is adjusted for, the price reversals remain significant.

Date: 1998
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