| Summary: | 碩士 === 中國文化大學 === 國際企業管理研究所 === 98 === Price limits in the stock market play an important role because it will influence the decision-making of investors. This study examined The effects of price limit nar-rowing on volatility in Taiwan markets. The index futures and options are served as research data. The lower price limit has been narrowed to 3.5% between October 13 and 24 2008, ten trading days in total.
Bivariate GARCH model (bivariate generalized autoregressive conditionally heteroskedastic model) model and the estimation methods of the diagonal (diagonal) VECH and BEKK are employed to estimate the relationships between price and volatility using conditional covariance matrix.
In summary, empirical results indicate that the use of diagonal (diagonal) VECH to test whether the Taiwan stock market declines can reduce the volatility limit is the most obvious way to diagonal (diagonal) VECH, whether in futures or options are showing significant impact on shows that when the Taiwan stock market declines reduced, the volatility of the situation has significantly decreased. Price limits, therefore the price in terms of the average investor really has a cooling-off effect.
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