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Price Limits, Price Expectations, and Price Movements: Empirical Findings from Spectrum Analysis

Author

Listed:
  • Gili Yen

    (School of Management, Chaoyang University of Technology, Taiwan, ROC)

  • Eva C. Yen

    (Department of Business Administration, National Central University, Taiwan, ROC)

Abstract

The present study applies spectrum analysis to examine the impact of price limits on stock price movements. Based on spectrum analysis, the authors find that the imposition of price limits does alter the pattern of stock price movements in Taiwan. Yet, its efficacy erodes over time.

Suggested Citation

  • Gili Yen & Eva C. Yen, 2001. "Price Limits, Price Expectations, and Price Movements: Empirical Findings from Spectrum Analysis," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., vol. 4(01), pages 1-7.
    • Handle: RePEc:wsi:rpbfmp:v:04:y:2001:i:01:n:s0219091501000334
    DOI: 10.1142/S0219091501000334
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    Citations

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    Cited by:

    1. Tony Naughton & Madhu Veeraraghavan, 2004. "Are Price Limits Priced? Evidence from the Taiwan Stock Exchange," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 3(3), pages 249-267, December.

    More about this item

    Keywords

    Price limits; Price expectations; Price movements; Spectrum analysis;
    All these keywords.

    JEL classification:

    • G1 - Financial Economics - - General Financial Markets
    • G2 - Financial Economics - - Financial Institutions and Services
    • G3 - Financial Economics - - Corporate Finance and Governance

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