An Extreme Value Approach to Test the Effect of Price Limits on Volatility
Journal of Modern Accounting and Auditing, 9(10), 1382-1391, 2013
18 Pages Posted: 18 May 2017 Last revised: 31 Dec 2017
Date Written: May 17, 2013
Abstract
Many stock exchanges around the world enforce daily price limits on the amount asset prices can change to prevent the market from overreacting and to reduce volatility. Using a methodology of comparing volatility based on the Extreme-Value technique, we empirically investigate the impact of price limits on the volatility of the Stock Exchange of Thailand. Our empirical results support price limits advocates suggesting that price limits moderate stock price volatility
Keywords: Price Limits, Extreme value theory, Volatility, Stock Exchange of Thailand
JEL Classification: G10, C53
Suggested Citation: Suggested Citation