Kian-Ping Lim and Robert D. Brooks
Chaos, Solitons & Fractals, Elsevier, 40(3), 1271-1276
Publication year: 2009

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.

Keywords

Nonlinearity; Bicorrelation; Return predictability; Price limits; Stock markets

 

Supplementary Materials