21
Views
0
CrossRef citations to date
0
Altmetric
Original Articles

Exchange holidays and stock price behavior on the Taiwan stock exchange

&
Pages 129-145 | Received 01 Mar 2006, Published online: 14 Jun 2013

References

  • Amihud , Y. and Mendelson , H. 1991 . Volatility, efficiency, and trading: evidence from the Japanese stock market . Journal of Finance , 46 : 1765 – 1789 .
  • Ariel , R. A. 1990 . High stock returns before holidays: existence and evidence on possible causes . Journal of Finance , 45 : 1611 – 1625 .
  • Barclay , M. , Lizenberger , R. and Warner , J. 1990 . Private information, trading volume and stock-return variances’ . Review of Financial Studies , 3 : 233 – 253 .
  • Cadsby , C. B. and Ratner , M. 1992 . Turn-of-month and pre-holiday effects on stock returns: some international evidence . Journal of Banking and Finance , 16 : 497 – 509 .
  • Chan , K. and Chan , Y. C. 1993 . Price volatility in the Hong Kong Stock Market: a test of the information and trading noise hypothesis . Pacific-Basin Finance Journal , 1 : 189 – 201 .
  • Fabozzi , F. J. , Ma , C. K. and Briley , J. E. 1994 . Holiday trading in futures markets . Journal of Finance , 49 : 307 – 324 .
  • Fama , E. F. 1965 . The behavior of stock market prices . Journal of Business , 38 : 34 – 105 .
  • Foster , D. and Viswanathan , S. 1993 . The effect of public information and competition on trading volume and price volatility . Review of Financial Studies , 6 : 23 – 56 .
  • French , K. R. and Roll , R. 1986 . Stock price variances: the arrival of information and the reaction of traders . Journal of Financial Economics , 17 : 5 – 26 .
  • Garman , M. and Klass , M. 1980 . On the estimation of security price volatilities from historical data . Journal of Business , 53 ( 1 ) : 67 – 78 .
  • Hong , H. and Wang , J. 2000 . Trading and returns under periodic market closures . Journal of Finance , 55 : 297 – 354 .
  • Jones , C. , Gautam , K. and Lipson , M. 1994 . Information, trading and volatility . Journal of Financial Economic , 36 : 127 – 154 .
  • Joneson , J. and Cheng , S. W. 2002 . Holidays and trading and return patterns of Australian SPI futures . Journal of Derivatives , 9 ( 4 ) : 56 – 67 .
  • Kim , C. W. and Park , J. 1994 . Holiday effect and stock returns: further evidence . Journal of Financial and Quantitative Analysis , 29 : 145 – 157 .
  • Liano , K. , Marchland , P. H. and Huang , G.-C. 1990 . The holiday effect in stock returns: evidence from the OTC Market . Review of Financial Economics , 6 : 45 – 54 .
  • Lucey , B. M. and Pardo , A. 2005 . Why investors should not be cautious about the academic approach to testing for stock market anomalies . Applied Financial Economics , 15 ( 3 ) : 165 – 171 .
  • Meneu , V. and Pardo , A. 2004 . Pre-holiday effect, large trades and small investor behaviour . Journal of Empirical Finance , 11 : 231 – 246 .
  • Mookerjee , R. and Yu , Q. 1999 . An empirical analysis of the equity market in China . Review of Financial Economics , 8 : 41 – 60 .
  • Oldfield , G. S. Jr. and Rogalski , R. J. 1980 . A theory of common stock returns over trading and non-trading periods . Journal of Finance , 35 : 729 – 751 .
  • Parkinson , M. 1980 . The extreme value method for estimating the variance of the rate of return . Journal of Business , 53 ( 1 ) : 61 – 65 .
  • Slezak , S. 1994 . A theory of the dynamics of security returns around market closures . Journal of Finance , 49 : 1163 – 1212 .

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.