The relationship between the 52-week high of an individual stock and stock market index level: Evidence from Taiwan

Chiao-Yi Chang

Journal of International Financial Markets, Institutions and Money, 2011, vol. 21, issue 1, 14-27

Abstract: This paper examines the positive connection between the 52-week high of a stock price and its return. In addition, other reference points including 5-day high, 20-day high, and 60-day high are considered under different stock market index levels. Using firm characteristics as proxies of preference and risk, this study employs a panel model in Taiwan and found a stronger positive connection where the stock index is greater than the 52-week average, whereas a weaker positive relationship exists where the stock market index is below the 52-week average. The results imply that a conservative investor sentiment to rising stock prices exists when the stock market index is relatively low in comparison to the 52-week average.

Keywords: Reference; point; Panel; model; Behavioral; finance (search for similar items in EconPapers)
Date: 2011
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:intfin:v:21:y:2011:i:1:p:14-27

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