Effects of Price Limits and Trading Halts on Volatility in Nepalese Stock Market

2011 ◽  
Author(s):  
Surya Bahadur G. C.
Keyword(s):  
Stock Market ◽  
Price Limits ◽  
Trading Halts

The performance of China’s stock market price limits: noise mitigator or noise maker?

2017 ◽  
Vol 7 (1) ◽  
pp. 85-97 ◽  
Author(s):  
Juan Tao ◽  
Wu Yingying ◽  
Zhang Jingyi
Keyword(s):  
Stock Market ◽  
Event Study ◽  
Market Price ◽  
Price Limits ◽  
Content Type ◽  
Conventional View ◽  
Volatility Spillovers ◽  
Time Period ◽  
Study Methodology ◽  
Limit Effect

Purpose The purpose of this paper is to re-examine the effectiveness of price limits on stock volatilities in China over a more recent time period spanning from 2007 to 2012. The motivation stems from the fact that very high stock market volatilities are observed in China and we are sceptical of the volatility mitigating effect claimed by advocates of price limits. Design/methodology/approach The effectiveness of price limits on volatilities is examined using an event study methodology and within an expanded framework of volatility-volume relationships. The sample stocks include the 300 component stocks of the CSI300 Index. Findings Both event study and regression analysis suggest that price limits exaggerate market volatilities by causing volatility spillovers. The destabilising effect is much more pronounced for small firm stocks and when the market falls. In addition to the informational source of volatilities (represented by volume), price limits create another non-trivial frictional source of volatilities in China’s stock market. Originality/value This research is the first to re-examine the price limit effect in China’s stock market in an expanded framework of volatility-volume relationships. It identifies price limits, in addition to information, as another non-trivial frictional source of volatilities. The findings derived from a recent sample period confirm the conventional view of inefficiency of price limits raised by Fama (1989) and provide evidence in support of the pervasive trend of stock market deregulations.

Price Limit and Volatility in Taiwan Stock Exchange: Some Additional Evidence from the Extreme Value Approach

2007 ◽  
Vol 10 (01) ◽  
pp. 51-61 ◽  
Author(s):  
Aktham I. Maghyereh ◽  
Haitham A. Al Zoubi ◽  
Haitham Nobanee
Keyword(s):  
Stock Market ◽  
Stock Exchange ◽  
Extreme Value ◽  
Market Volatility ◽  
Stock Market Volatility ◽  
Price Limits ◽  
Stock Volatility ◽  
Price Limit ◽  
Taiwan Stock Exchange

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.

Trading Volume and Cross-Autocorrelations of Stock Returns in Emerging Markets: Evidence from the Taiwan Stock Market

2004 ◽  
Vol 07 (04) ◽  
pp. 509-524
Author(s):  
Wen-Hsiu Kuo ◽  
Hsinan Hsu ◽  
Chwan-Yi Chiang
Keyword(s):  
Stock Market ◽  
Stock Returns ◽  
Stock Prices ◽  
Trading Volume ◽  
Price Limits ◽  
Speed Of Adjustment ◽  
New Information ◽  
Weak Evidence ◽  
Market Inefficiency ◽  
Daily Returns

This study empirically investigates the interaction between trading volume and cross-autocorrelations of stock returns in the Taiwan stock market. The result shows that returns on high trading volume portfolios lead returns on low trading volume portfolios when controlled for firm size, indicating that trading volume determines lead-lag cross-autocorrelations of stock returns. Overall, the empirical findings of this study demonstrate similar results for both monthly and daily returns, suggesting that nonsynchronrous trading is not the main reason for the lead-lag cross-autocorrelations presented in this study. Consequently, the empirical results presented here support the speed of adjustment hypothesis, and suggest that some market inefficiency exists in the Taiwan stock market. Additionally, compared with evidence of lead-lag cross-autocorrelations in the larger, less regulated US stock market, as examined by Chordia and Swaminathan (2000), Taiwan stock market displays less evidence of VARs and Dimson beta regressions. We conjecture that this weak evidence may result from the regulations limiting daily price movements in the Taiwan stock market. Although the price limits policy lowers risk and stabilizes stock prices, it also prevents stock prices and trading volume from instantaneously and fully reflecting new information.

Sign in / Sign up

Export Citation Format

Share Document