Shieh, Shwu-Jane; Lin, Chih-Yung; Ho, Po-Hsin - In: The Quarterly Review of Economics and Finance 52 (2012) 2, pp. 183-197
This article investigates the determinants of large changes in stock prices. Empirical evidences suggest that the asymmetry phenomenon in determinants of large changes in stock prices is found in three stock exchanges. In the New York Stock Exchange (NYSE), momentum effect accounts for most of...