Price Limit and Volatility in Taiwan Stock Exchange: Some Additional Evidence from the Extreme Value Approach-Reference-Cited by-同舟云学术

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

Published:2007-03 Issue:01 Volume:10 Page:51-61
ISSN:0219-0915
Container-title:Review of Pacific Basin Financial Markets and Policies
language:en
Short-container-title:Rev. Pac. Basin Finan. Mark. Pol.

Author:

Maghyereh Aktham I.¹,Al Zoubi Haitham A.²,Nobanee Haitham²

Affiliation:

1. Department of Economics and Finance, College of Business and Economics, UAE University, AL-Ain, UAE

2. Department of Banking and Finance, The Hashemite University, Zarka-1331-Jordan, Jordan

Abstract

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.

Publisher

World Scientific Pub Co Pte Lt

Subject

Economics and Econometrics,Finance

Link

https://www.worldscientific.com/doi/pdf/10.1142/S0219091507000957

Reference37 articles.

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2. Estimating the Term Structure of Interest Rate Volatility in Extreme Values

3. A theory of price limits in futures markets

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