A Comparison of Price Adjustment Coefficients Among Bull, Bear, and Consolidate Markets

The purpose of this study is to use the ARMA (1,1) to estimate the price adjustment coefficients for TAIEX index, sector indice and index futures among bull, bear, and consolidate markets during the period of March 13, 1996 through January 15, 2010. The main findings from emprrical results are as follows.
1. It is very crucial to define bull, bear and consolidate markets in order to fully capture the pattern of price adustment procedure.
2. There is no partilcular price adjustment patern for individual market.
3. A turning point will appear whenever prices overreact or underreact to information in each market.