LARGE PRICE DECLINE, PRICE REVERSAL AND FIRM CHARACTERISTICS: A COMPARATIVE STUDY OF 2008 FINANCIAL CRISIS

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Abstract

On October 10, 2008 share price declined significantly in most capital markets and market rebounded on October 13, 2008. The market decline on October 10, 2008 and a price reversal on October 13, 2008 was one of the largest in the history of most capital markets making it a very significant event period. A firm level comparison is done in three significant and distinctly different capital markets, Australia, India and U.K from an international portfolio diversification perspective. Results show investors of domestic U.K. firms reacted more negatively to high leverage and large liability firms compared to Australian and Indian investors. Overall, differences are found in firm characteristics and reaction across the three markets during the large price change period.

Keywords: Large Price Decline, Price Reversal, Firm Characteristics, Financial Crisis

How to cite this paper: Garg, M. (2011). Large price decline, price reversal and firm characteristics: A comparative study of 2008 financial crisis. Corporate Ownership & Control, 8(2-3), 334-353. https://doi.org/10.22495/cocv8i2c3p2