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Price Limit and Volatility in Taiwan Stock Exchange: Some Additional Evidence from the Extreme Value Approach
16 references·0 citing·44 second hop
Price Limit and Volatility in Taiwan Stock Exchange: Some Additional Evidence from the Extreme Value Approach (2007)Price Limit and Volatility in Taiwan Stoc…Journal of Financial Services Research (2013)Journal of Financial Services…The magnet effect of price limits: evidence from high-frequency data on Taiwan Stock Exchange (2003)The magnet effect of price li…Price Limit Performance: Evidence from the Tokyo Stock Exchange (1997)Price Limit Performance: Evid…Modelling Extremal Events (1997)Modelling Extremal EventsVolume, Volatility, and New York Stock Exchange Trading Halts (1994)Volume, Volatility, and New Y…Modelling of extremal events in insurance and finance (1994)Modelling of extremal events …Transactional risk, market crashes, and the role of circuit breakers (1993)Transactional risk, market cr…Stock Market Crashes and the Performance of Circuit Breakers: Empirical Evidence (1993)Stock Market Crashes and the …Transactional Risk, Market Crashes, and the Role of Circuit Breakers (1991)Transactional Risk, Market Cr…Pacific-basin capital markets research (1990)Pacific-basin capital markets…Volatility, Price Resolution, and the Effectiveness of Price Limits (1989)Volatility, Price Resolution,…Black Monday and the future of financial markets (1989)Black Monday and the future o…Liquidity, Stock Markets, and Market Makers (1987)Liquidity, Stock Markets, and…A theory of price limits in futures markets (1986)A theory of price limits in f…Margins and market integrity: Margin setting for stock index futures and options (1984)Margins and market integrity:…Margins and futures contracts (1981)Margins and futures contractsThe Variation of Certain Speculative Prices (1963)The Behavior of Stock-Market Prices (1965)Conditional value-at-risk for general loss distributions (2002)Correlation and Dependence in Risk Management: Properties and Pitfalls (2002)Brownian Motion and Stochastic Calculus (2007)Top Incomes in the Long Run of History (2011)The Relation Between Price Changes and Trading Volume: A Survey (1987)Why Does Stock Market Volatility Change Over Time? (1989)Why Does Stock Market Volatility Change Over Time? (1989)Predictable behavior, profits, and attention (2007)Limits of arbitrage and idiosyncratic volatility: Evidence from China stock market (2016)Pandemic-Related Financial Market Volatility Spillovers: Evidence from the Chinese COVID-19 Epicentre (2020)Inferring Trade Direction from Intraday Data (1991)Time and the Process of Security Price Adjustment (1992)The forward premium puzzle: different tales from developed and emerging economies (2000)A Realized Variance for the Whole Day Based on Intermittent High-Frequency Data (2005)The pricing of commodity contracts (1976)Evaluating Natural Resource Investments (1985)Price volatility, international market links, and their implications for regulatory policies (1989)Leverage and Market Stability: The Role of Margin Rules and Price Limits (1998)Proof that Properly Anticipated Prices Fluctuate Randomly (2015)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Intraday periodicity and volatility persistence in financial markets (1997)Deutsche Mark–Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies (1998)Emerging markets finance (2003)Analysis of Financial Time Series (2006)Ratio-based lengths of intervals to improve fuzzy time series forecasting (2006)Coherent Measures of Risk (1999)Empirical properties of asset returns: stylized facts and statistical issues (2001)Maximum-Likelihood Estimation (2017)Some Tests of Specification for Panel Data: Monte Carlo Evidence and an Application to Employment Equations (1991)Another look at the instrumental variable estimation of error-components models (1995)Initial conditions and moment restrictions in dynamic panel data models (1998)Trading volume, bid-ask spread, and price volatility in futures markets (2000)Product Differentiation, Search Costs, and Competition in the Mutual Fund Industry: A Case Study of S&P 500 Index Funds (2004)Bank Competition And Financial Stability: Friends Or Foes? (2008)Differences of Opinion, Short-Sales Constraints, and Market Crashes (2003)Institutional Investors and Stock Market Volatility (2006)Stock Returns and Real Activity: A Century of Evidence (1990)International stock market linkages: Evidence from the pre- and post-October 1987 period (1993)Inefficient Markets (2000)An Empirical Comparison of Alternative Models of the Short-Term Interest Rate (1992)ARCH modeling in finance (1992)Initial public offerings: International insights (1994)
this work references cited by second hop

References

  • 1997Modelling Extremal Events4,397 cited
  • 1994Modelling of extremal events in insurance and finance3,574 cited
  • 1997Price Limit Performance: Evidence from the Tokyo Stock Exchange377 cited
  • 2013Journal of Financial Services Research372 cited
  • 1989Black Monday and the future of financial markets249 cited
  • 1990Pacific-basin capital markets research232 cited
  • 1986A theory of price limits in futures markets211 cited
  • 1994Volume, Volatility, and New York Stock Exchange Trading Halts208 cited
  • 2003The magnet effect of price limits: evidence from high-frequency data on Taiwan Stock Exchange163 cited
  • 1991Transactional Risk, Market Crashes, and the Role of Circuit Breakers157 cited
  • 1993Stock Market Crashes and the Performance of Circuit Breakers: Empirical Evidence145 cited
  • 1993Transactional risk, market crashes, and the role of circuit breakers142 cited
  • 1984Margins and market integrity: Margin setting for stock index futures and options135 cited
  • 1987Liquidity, Stock Markets, and Market Makers134 cited
  • 1981Margins and futures contracts127 cited
  • 1989

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Volatility, Price Resolution, and the Effectiveness of Price Limits
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