Daily price limits and stock price behavior: Evidence from the Taiwan stock exchange

International Review of Economics and Finance

Volumn 10, Issue 3, 2001, Pages 263-288

  Huang, Yen Sheng ^a   Fu, Tze Wei ^a   Ke, Mei Chu ^a  

^a NATIONAL TAIWAN UNIVERSITY OF SCIENCE AND TECHNOLOGY   (Taiwan)

Author keywords

G14; G15; G18; Overreaction hypothesis; Price limits; Taiwan Stock Exchange

Indexed keywords

EID: 0038812538     PISSN: 10590560     EISSN: None     Source Type: Journal    
DOI: 10.1016/S1059-0560(00)00082-4     Document Type: Article

References (16)

1. Arak M., Cook R.E. Do daily price limits act as magnets? The case of Treasury bond futures. Journal of Financial Services Research. 12(1):1997;5-20.
2. Chen H. Price limits, overreaction, and price resolution in futures markets. Journal of Futures Markets. 18(3):1998;243-263.
3. Chen Y.M. Price limits and stock market volatility in Taiwan. Pacific-Basin Finance Journal. 1:1993;139-153.
4. DeBondt W.F.M., Thaler R.H. Does the stock market overreact? Journal of Finance. 40(3):1985;793-805.
5. DeBondt W.F.M., Thaler R.H. Further evidence on investor overreaction and stock market seasonality. Journal of Finance. 42(3):1987;557-581.
6. France V.G., Kodres L., Moser J.T. A review of regulatory mechanisms to control the volatility of prices. Economic Perspectives. 18(6):1994;15-28.
7. Huang Y.S. Stock price reaction to daily limit moves: evidence from the Taiwan Stock Exchange. Journal of Business Finance and Accounting. 25(3-4):1998;469-483.
8. Kim K.A., Ghon Rhee S. Price limit performance: evidence from the Tokyo Stock Exchange. Journal of Finance. 52:1997;885-901.
9. Lee S.B., Kim K.J. The effect of price limits on stock price volatility: empirical evidence in Korea. Journal of Business Finance and Accounting. 22(2):1995;257-267.
10. Lehmann B.N. Commentary: volatility, price resolution, and the effectiveness of price limits. Journal of Financial Services Research. 3:1989;205-209.
11. Ma C.K., Rao R.P., Sears R.S. Volatility, price resolution, and the effectiveness of price limits. Journal of Financial Services Research. 3:1989;165-199.
12. Ma C.K., Rao R.P., Sears R.S. Limit moves and price resolution: the case of the treasury bond futures market. Journals of Futures Markets. 9:1989;321-335.
13. Ma T. Trading frequencies and stock market performance: the case of Taiwan. Asia Pacific Journal of Finance. 1(1):1998;1-25.
14. Miller M.H. Commentary: volatility, price resolution, and the effectiveness of price limits. Journal of Financial Services Research. 3:1989;201-203.
15. Subrahmanyam A. Circuit Breakers and market volatility: a theoretical perspective. Journal of Finance. 49:1994;237-254.
16. Subrahmanyam A. On rules versus discretion in procedures to halt trade. Journal of Economics and Business. 47(1):1995;1-16.