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
2007 Social Science Research Network  
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.
doi:10.2139/ssrn.2969963 fatcat:3ee2a4qodrbyrpuljpe6qkmy4a