The Influence of the Expansion of Price Limits upon the Volatility in Taiwan Stock Exchange

• Main Authors: HU, KUAN-CHEN, 胡冠甄
• Other Authors: WU, E-CHING
• Format: Others
• Language: zh-TW
• Published: 2016
• Online Access: http://ndltd.ncl.edu.tw/handle/34325194252362781130

碩士 === 靜宜大學 === 財務金融學系 === 104 === Price limits is to reduce the volatility of the stock exchange and a mechanism to avoid over-reaction to news of the price, and this price limit mechanism is really looking forward to exchanges in the empirical literature in the past did not have consistent results. Taiwan Stock Exchange since June 1, 2015, will limit the ups and downs of the magnitude of the relaxation from 7% to 10%, this measure allows us to have the opportunity to explore price limits on price fluctuations. Therefore, this paper GARCH model, add another asymmetry GJR-GARCH model takes into account fluctuations, thereby observe Taiwan's stock index return volatility after deregulation whether a structural change, thus limiting Price Mechanism effect. We find GARCH model, relaxing price limits decreased volatility of stock returns, but in the GJR-GARCH model, while reducing volatility, but not statistically significant. In addition, we have to re-market model is relaxed view price limit, the result is also statistically significant, but still no reduction in volatility.