Price Limits, Price Expectations, and Price Movements: Empirical Findings from Spectrum Analysis

Gili Yen and Eva C. Yen
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Gili Yen: School of Management, Chaoyang University of Technology, Taiwan, ROC
Eva C. Yen: Department of Business Administration, National Central University, Taiwan, ROC

Review of Pacific Basin Financial Markets and Policies (RPBFMP), 2001, vol. 04, issue 01, 1-7

Abstract: The present study applies spectrum analysis to examine the impact of price limits on stock price movements. Based on spectrum analysis, the authors find that the imposition of price limits does alter the pattern of stock price movements in Taiwan. Yet, its efficacy erodes over time.

Keywords: Price limits; Price expectations; Price movements; Spectrum analysis (search for similar items in EconPapers)
JEL-codes: G1 G2 G3 (search for similar items in EconPapers)
Date: 2001
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DOI: 10.1142/S0219091501000334

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