The short-term stock return behaviour : Australian evidence

Nguyen, Thi Huong Giang. (2001). The short-term stock return behaviour : Australian evidence Honours Thesis, School of Business, The University of Queensland.

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Author Nguyen, Thi Huong Giang.
Thesis Title The short-term stock return behaviour : Australian evidence
School, Centre or Institute School of Business
Institution The University of Queensland
Publication date 2001
Thesis type Honours Thesis
Total pages 101
Language eng
Subjects 1503 Business and Management
Formatted abstract
This thesis examines the short-term return behaviour following large price changes of Australian stocks over the period from January 1991 to December 2000. In addition, it examines whether behavioural finance and the information-signal model can provide explanations for the documented return behaviour. A sample of three-standard-deviation events provides minor evidence of investors' overreaction to "good news", but underreaction to "bad news". When these events are further conditioned on the presence of information releases and high volume, a return continuation pattern is found. This is consistent with the prediction of the information-signal model that, when market participants hold diverse beliefs, strategic trading by informed traders would result in the full implication of the information being incorporated slowly into stock prices. However, the lack of consistent statistical significance seems to suggest that the observed patterns are still within the "boundaries" of the Efficient Market Hypothesis, which states that securities returns are not predictable from past prices. In other words, the Australian share market can still be considered as weak-form efficient.

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Created: Thu, 18 Nov 2010, 15:37:44 EST by Muhammad Noman Ali on behalf of The University of Queensland Library