Price limit and volatility in Taiwan stock exchange some additional evidence from the extreme value approach

Aktham I. Maghyereh, Haitham A. Al Zoubi, Haitham Nobanee

    Research output: Contribution to journalArticlepeer-review

    10 Citations (Scopus)

    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.

    Original languageEnglish
    Pages (from-to)51-61
    Number of pages11
    JournalReview of Pacific Basin Financial Markets and Policies
    Volume10
    Issue number1
    DOIs
    Publication statusPublished - Mar 2007

    Keywords

    • Extreme value theory
    • Price limits
    • Taiwan stock exchange
    • Volatility

    ASJC Scopus subject areas

    • Finance
    • Economics and Econometrics

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