The relationship between the 52-week high of an individual stock and stock market index level: Evidence from Taiwan

This paper examines the positive connection between the 52-week high of a stock price and its return. In addition, other reference points including 5-day high, 20-day high, and 60-day high are considered under different stock market index levels. Using firm characteristics as proxies of preference and risk, this study employs a panel model in Taiwan and found a stronger positive connection where the stock index is greater than the 52-week average, whereas a weaker positive relationship exists where the stock market index is below the 52-week average. The results imply that a conservative investor sentiment to rising stock prices exists when the stock market index is relatively low in comparison to the 52-week average. (C) 2010 Elsevier B. V. All rights reserved.