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

被引：15

作者：

Lim, Kian-Ping ^{[1
,2
]}

Brooks, Robert D. ^{[1
]}

机构：

[1] Monash Univ, Dept Econometr & Business Stat, Narre Warren, Vic 3805, Australia

[2] Univ Malaysia Sabah, Labuan Sch Int Business & Finance, Kota Kinabalu, Malaysia

来源：

CHAOS SOLITONS & FRACTALS | 2009年 / 40卷 / 03期

关键词：

RANKING EFFICIENCY; VOLATILITY;

D O I：

10.1016/j.chaos.2007.09.001

中图分类号：

O1 [数学];

学科分类号：

0701 ; 070101 ;

摘要：

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 oil the price discovery process but rather suggesting that market efficiency is not merely determined by price limits. (C) 2007 Elsevier Ltd. All rights reserved.

引用

页码：1271 / 1276

页数：6

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