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

Aktham I. Maghyereh (), Haitham A. Al-Zoubi () and Haitham Nobanee ()
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Aktham I. Maghyereh: Department of Economics and Finance, College of Business and Economics, UAE University, AL-Ain, UAE

Review of Pacific Basin Financial Markets and Policies (RPBFMP), 2007, vol. 10, issue 01, pages 51-61

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: Price limits; Extreme value theory; Volatility; Taiwan stock exchange (search for similar items in EconPapers)
JEL-codes: G1 G2 G3 (search for similar items in EconPapers)
Date: 2007

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