The Information Content of Price Limits in Taiwan Stock Exchange PDF Download
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Author: Yun-Pin Chen
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Languages : en
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Author: Yun-Pin Chen
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Languages : en
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Author: Aktham Issa Maghyereh
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Languages : en
Pages : 0
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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.
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Languages : en
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Author: Jeff Jing-Sheng Chung
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Languages : en
Pages : 192
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Author: 林詔瑩
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Languages : en
Pages : 31
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Author: Da-Bai Shen
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Category : Stocks
Languages : en
Pages : 146
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Languages : en
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Author: Lee-rong Wang
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Languages : en
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Author: Jung Ling Chang
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Category : Stock exchanges
Languages : en
Pages : 88
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Languages : en
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This paper investigates the price impact cost for MSCI constituents on the Taiwan Stock Exchange (TSE) from Jan. 2001 to Dec. 2004. While the behavior of price impact cost in U.S. security markets has been extensively analyzed, there are few studies about it in the pure limit-order markets. Unlike Breen, Hodrick, and Korajczyk (2002), a panel data model is applied to fit our cross-sectional and time series data. We find that the price impact cost is well predicted by predetermined firm characteristics and exhibits a Ushaped pattern over the trading day. Furthermore, the evidence suggests that the reformations of trading regulations and the improvements of information disclosures would have a significant effect on the price impact cost for overall stocks.
