The effect of Price Limits on Efficiency、Volatility and Liquidity of Taiwan Industrial Returns

• Main Authors: HUNG EN HUI, 黃恩惠
• Other Authors: LAI KUEI KUEI
• Format: Others
• Language: zh-TW
• Published: 2001
• Online Access: http://ndltd.ncl.edu.tw/handle/44115063166115867874

碩士 === 南華大學 === 管理研究所 === 90 === Abstract There are price limits in Taiwan stock market to stabilize the stock prices since 1962.Their effect is controversial. Some argue that price limits make investors come down to deal with shocks and thus market volatility declines.But some argue that price limits make market liquidity decreases and postpone the formation of equilibrium price,futhermore spillover effect comes out and volatility increases. In this paper we uses the daily stock return data from April 30,1998 to May 1 , 2000 to examine the following three hypotheses：（1）the equilibrium price delay hypothesis ,（2）the volatility spillover hypothesis , and （3）the trading interference hypothesis.The tests here used are：Binomial test and Wilcoxon test. The empirical results show that price limits make the investor overreact to the shocks and the formative of equilibrium price is delayed,the volatility spillover is increased,and the trading is blocked.In someday,we find that price limits policy can not stabilize the stock prices and fails to achieve the established goal.Our findings are consistent with most of the domestic research papers or theses but not so consistent with foreign literature.