Mazouz, Khelifa; Joseph, Nathan Lael; Palliere, Clement - In: Pacific-Basin Finance Journal 17 (2009) 4, pp. 444-459
Abstract We examine the short-term price behavior of ten Asian stock market indexes following large price changes or "shocks". Under the standard OLS regression, there is stronger support for return continuations particularly following positive and negative price shocks of less than 10% in...