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

Michael Wong

Asia-Pacific Financial Markets, 1997, vol. 4, issue 2, 177 pages

Abstract: 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

Keywords: Asian-Pacific stock Markets; asset pricing; overreaction hypothesis (search for similar items in EconPapers)
Date: 1997
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DOI: 10.1023/A:1009625931727

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