Examining equity security investors' multi-asymmetric price adjustment behaviours via threshold models: an empirical study on four developed and three emerging Asian stock markets

摘要

This paper incorporates the price adjustment model by Amihud and Mendelson with the threshold model to examine stock market investors' multi-asymmetric price adjustment behaviour in seven stock markets from 1980 to 2000. Among the contemporary studies of investor behaviour via the price adjustment model, few, if any, aims at exploring whether and how the adjustment patterns would differ for the markets in differential states and/or with differential level of development. Our empirical findings are consistent with the following notions. First, full price adjustment behaviour is pronounced in stock investors of the more developed markets of the USA, the UK and Germany. Second, the investors in Japanese stock market make full (partial) price adjustments on bad (good) news. Third, the investors in the less developed stock markets including Taiwan and Malaysia react fully (partially) to post (negative) positive returns. Fourth, the investors in the South Korea markets appear to over-react especially during the volatile and bearish regimes.