Price Limit and Volatility in Taiwan Stock Exchange: Some Additional Evidence from the Extreme Value Approach
Maghyereh, Aktham I.
Al Zoubi, Haitham A.
MetadataShow full item record
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 mod- erated under more restrictive price limits.