Price Limits and Market Volatility in Taiwan PDF Download
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Author: Soushan Wu
Publisher:
ISBN: 9780947069759
Category : Stocks
Languages : en
Pages : 12
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Book Description
Author: Soushan Wu
Publisher:
ISBN: 9780947069759
Category : Stocks
Languages : en
Pages : 12
Get Book Here
Book Description
Author: Sue-Fung Wang
Publisher:
ISBN:
Category : Securities
Languages : en
Pages : 105
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Book Description
Author: Aktham Issa Maghyereh
Publisher:
ISBN:
Category :
Languages : en
Pages : 0
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Book Description
We reexamine the effects of price limits on the 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.
Author: Da-Bai Shen
Publisher:
ISBN:
Category : Stocks
Languages : en
Pages : 146
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Book Description
Author: Yong H. Kim
Publisher:
ISBN:
Category :
Languages : en
Pages : 17
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Book Description
We investigate the effect of price limits on intra-day volatility and information asymmetry using transactions data from the Taiwan Stock Exchange. Proponents of price limits argue that they provide an opportunity for investors to reevaluate market information and make more rational trading decisions. We identify three different limit hits - closing, single, and consecutive - and hypothesize that only the consecutive limit hits are likely to provide such an opportunity, namely, to counter investor overreaction(volatility hypothesis) and to enhance information revelation (information asymmetry hypothesis). Our empirical evidence supports the volatility hypothesis. Our findings generate important policy implications for stock markets that have price limits.
Author: 林詔瑩
Publisher:
ISBN:
Category :
Languages : en
Pages : 31
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Book Description
Author: Lee-rong Wang
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Book Description
Author:
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Book Description
Author: MIN HSIEN. CHIANG
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Book Description
This paper investigates the impact of the opening up of the Taiwan futures market to foreign investors on the price discovery function and volatility of the local futures market. The additional market factor effects are controlled and the asymmetric response behavior is studied. Major results are as follows. First, the evidence suggests that foreign investment liberalization increases the number of informed traders and leads to improve the price discovery function of the Taiwan futures market. Second, the level of futures price volatility increases and the asymmetric responses of volatility to news have reduced following futures markets liberalization. These results imply that increased participation of informed foreign investors in emerging futures market should enhance the rate of information flow, improve the quality and reliability of information and, hence, reduce the impact of noise traders on price volatility. Our findings provide important information to policymakers considering opening up their markets to foreign investors.
Author: Tai Ma
Publisher:
ISBN:
Category :
Languages : en
Pages : 51
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Book Description
This paper investigates the effect of price limits on strategically informed trading and market performances. We show that a price limit will increase the costs of liquidity traders and volatility spillover by its ex ante effects on strategically informed trading. Our study differs from prior research by focusing on informed traders' strategies and information competitiveness. With long-lived information or less information competitiveness, the price limit rule encourages stealthily informed trading, distorts the price dynamics and increases the trading costs of small liquidity traders. Volatility subsequent to a limit-hit is also increased. By using the listed firms in the Taiwan Stock Exchange, we provide empirical evidences that informed traders switch to trade with small orders when they encounter a price limit and volatility spillover exists. Furthermore, this negative effect is more sever for those stocks with less information competitiveness. Our findings suggest that the ex ante effects of price limits on market performances may be contrary to what the stabilizing mechanism is intended to achieve, especially for those firms with less information competitiveness.
