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The application of an intervention model to the Taiwan stock exchange price limits policy

Listed author(s):
  • Min-Tsung Cheng
  • Yeong-Jia Goo
Registered author(s):

    This research examines the effects of changes in daily price limit policy on the Taiwan stock market. It is based on the daily trading record from the period 1 January 1999 to 31 December 2001, a total of 781 daily record data sets. By applying the intervention model (IVM) of event study and adjusting outliers, the study incorporates with the transfer function model (TFARMA) in time series to make an empirical investigation. The empirical findings show that of the six periods of changed price limits, three had a significantly positive effect on stock returns, two had no significant effect, and one had a significantly negative effect.

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    File URL: http://taylorandfrancis.metapress.com/link.asp?target=contribution&id=W0664172W7HG6418
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    Article provided by Taylor and Francis Journals in its journal Applied Financial Economics Letters.

    Volume (Year): 2 (2006)
    Issue (Month): 1 (January)
    Pages: 31-36

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    Handle: RePEc:taf:apfelt:v:2:y:2006:i:1:p:31-36
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    1. Kim, Kenneth A., 2001. "Price limits and stock market volatility," Economics Letters, Elsevier, vol. 71(1), pages 131-136, April.
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