This paper re-examines the issue of mean reversion in stock prices by incorporating the structural break effect in the long horizon regression. Before adjusting for structural break, the paper finds that previous studies understate the evidence of mean-reversion. The understatement is mainly due...

We reexamine the effects of price limits on the 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

This dissertation empirically and theoretically investigates threeinterrelated issues of market anomalies in interest rates derivativesand foreign exchange rates. The first essay models the spotexchange rate as a decomposition of permanent and transitorycomponents. Unlike extant analysis, the...

This dissertation empirically and theoretically investigates three interrelated issues of market anomalies in interest rates derivatives and foreign exchange rates. The first essay models the spot exchange rate as a decomposition of permanent and transitory components. Unlike extant analysis,...