This paper examines the stock price behavior in the trading and non-trading periods for stocks listed on the Taiwan Stock Exchange over 1971-96. The results indicate that the trading-time return variances are higher than the non-trading-time return variances especially for the larger trading-volume quintiles. This result is consistent with the private information hypothesis. Moreover, open-to-open return variances are higher than close-to-close return variances. Since both the opening and the closing transactions are conducted by the call auction procedure, the results are consistent with the trading halt hypothesis but not with the trading mechanism hypothesis. Copyright Blackwell Publishers Ltd 2000.
This study explores herding behavior and investors' asymmetric reactions to good news and bad news in China equity market. Turnover effect on herding is tested. Data covers from Jan 2004 to June 2009, including current financial panic period.Even though there do not exist herding behavior in China equity market, we demonstrate the existence of asymmetric reaction that investors' tendency toward herding is significantly higher during market downstream. This study partly supports the turnover effect that low turnover stocks significantly converge to market return than high turnover stocks during extreme market conditions.
Purpose -The purpose of this paper is to discuss the change in China's exchange rate regime during the 2001-2009 period, when both the pegged and floating exchange rates were adopted in the country, offering a rare opportunity to address the issue. The effects of China's interest rate differential (IRD) and unemployment rate on the exchange rate are also discussed in this paper. Design/methodology/approach -Given the economic variables are non-stationary, this paper adopts cointegration analysis to evaluate the long-term equilibrium in China's economy, with the unit root test, cointegrating test and a vector error correction model also used to scrutinize China' exchange rate regime for different time periods. Findings -The time series data -including the exchange rate, IRD and unemployment rate -are used in the unit root test and Johansen test to verify the long-term equilibrium between real exchange rate and unemployment rate in specific periods of time. Since the findings indicate no correlation between the exchange rate and IRD, it is possible to predict the value of Chinese yuan based on China's unemployment rate, but not IRD. China's government slows down the appreciation of its currency when the lagged unemployment rate is high. Originality/value -The paper provides a fresh perspective on the long-term equilibrium among China's exchange rate, IRD and unemployment by dividing the sample period into several parts, according to the exchange rate policy. The findings indicate that the unemployment rate plays an important role in China's exchange rate regime.
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