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

doi:10.1142/S0219091507000957

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 journal › Article › peer-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 language	English
Pages (from-to)	51-61
Number of pages	11
Journal	Review of Pacific Basin Financial Markets and Policies
Volume	10
Issue number	1
DOIs	https://doi.org/10.1142/S0219091507000957
Publication status	Published - Mar 2007

Keywords

Extreme value theory
Price limits
Taiwan stock exchange
Volatility

ASJC Scopus subject areas

Finance
Economics and Econometrics

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10.1142/S0219091507000957

Cite this

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

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.",

keywords = "Extreme value theory, Price limits, Taiwan stock exchange, Volatility",

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year = "2007",

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KW - Extreme value theory

KW - Price limits

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KW - Volatility

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

Abstract

Keywords

ASJC Scopus subject areas

Access to Document

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