TY - JOUR
T1 - Price limit and volatility in Taiwan stock exchange some additional evidence from the extreme value approach
AU - Maghyereh, Aktham I.
AU - Al Zoubi, Haitham A.
AU - Nobanee, Haitham
PY - 2007/3
Y1 - 2007/3
N2 - 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.
AB - 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.
KW - Extreme value theory
KW - Price limits
KW - Taiwan stock exchange
KW - Volatility
UR - http://www.scopus.com/inward/record.url?scp=34147137872&partnerID=8YFLogxK
UR - http://www.scopus.com/inward/citedby.url?scp=34147137872&partnerID=8YFLogxK
U2 - 10.1142/S0219091507000957
DO - 10.1142/S0219091507000957
M3 - Article
AN - SCOPUS:34147137872
SN - 0219-0915
VL - 10
SP - 51
EP - 61
JO - Review of Pacific Basin Financial Markets and Policies
JF - Review of Pacific Basin Financial Markets and Policies
IS - 1
ER -