Price Limit and Volatility in Taiwan Stock Exchange: Some Additional Evidence from the Extreme Value Approach
AbstractWe 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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Bibliographic InfoArticle provided by World Scientific Publishing Co. Pte. Ltd. in its journal Review of Pacific Basin Financial Markets and Policies.
Volume (Year): 10 (2007)
Issue (Month): 01 ()
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Web page: http://www.worldscinet.com/rpbfmp/rpbfmp.shtml
Find related papers by 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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