Price limits and stock market efficiency: Evidence from rolling bicorrelation test statistic

Lim, Kian Ping and Brooks, Robert D. (2009) Price limits and stock market efficiency: Evidence from rolling bicorrelation test statistic. Chaos, Solitons and Fractals, 40. pp. 1271-1276. ISSN 0960-0779

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Abstract

Using the rolling bicorrelation test statistic, the present paper compares the efficiency of stock markets from China, Korea and Taiwan in selected sub-periods with different price limits regimes. The statistical results do not support the claims that restrictive price limits and price limits per se are jeopardizing market efficiency. However, the evidence does not imply that price limits have no effect on the price discovery process but rather suggesting that market efficiency is not merely determined by price limits. © 2007 Elsevier Ltd. All rights reserved.

Item Type: Article
Uncontrolled Keywords: Market efficiencies, Price discoveries, Price limits, Stock markets
Subjects: H Social Sciences > HG Finance > HG1-9999 Finance > HG4501-6051 Investment, capital formation, speculation > HG4551-4598 Stock exchanges
Divisions: SCHOOL > Labuan School of International Business and Finance
Depositing User: ADMIN ADMIN
Date Deposited: 16 Mar 2011 14:16
Last Modified: 19 Oct 2017 15:02
URI: http://eprints.ums.edu.my/id/eprint/1560

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