publication . Article . 2007

Price Limit and Volatility in Taiwan Stock Exchange: Some Additional Evidence from the Extreme Value Approach

Aktham Issa Maghyereh; Haitham A. Al Zoubi; Haitham Nobanee;
Open Access
  • Published: 01 Jan 2007 Journal: Review of Pacific Basin Financial Markets and Policies, volume 10, issue 1, pages 51-61
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.
Persistent Identifiers
ACM Computing Classification System: Hardware_MEMORYSTRUCTURES
free text keywords: Price limits, Extreme value theory, Volatility, Taiwan stock exchange, jel:G1, jel:G2, jel:G3, Economics, Volatility smile, Forward volatility, Market maker, Stock exchange, Financial economics, Cost price, Econometrics, Mid price, Volatility swap, Implied volatility
Any information missing or wrong?Report an Issue