Price Limit and Volatility in Taiwan Stock Exchange: Some Additional Evidence from the Extreme Value Approach

We reexamine the effects of price limits on stock volatility of Taiwan Stock Exchange using a new methodology based on the Extreme-Value technique. Consistent with the advocates of price limits, we find that stock market volatility is sharply moderated under more restrictive price limits.

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Year of publication:	2007
Authors:	Maghyereh, Aktham I. ; Zoubi, Haitham A. Al ; Nobanee, Haitham
Published in:	Review of Pacific Basin Financial Markets and Policies (RPBFMP). - World Scientific Publishing Co. Pte. Ltd., ISSN 1793-6705. - Vol. 10.2007, 01, p. 51-61
Publisher:	World Scientific Publishing Co. Pte. Ltd.
Subject:	Price limits \| Extreme value theory \| Volatility \| Taiwan stock exchange

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Extent:	application/pdf text/html
Type of publication:	Article
Classification:	G1 - General Financial Markets ; G2 - Financial Institutions and Services ; G3 - Corporate Finance and Governance
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005050746