Some foreign stock markets have daily price limits. For example, in Taiwan, the daily price limit is 7%. How often do we hit these limits? The US ADR for Taiwan Semiconductor (TSM) exceeded the daily price limit ceiling 114 times and dropped below the daily price floor 47 times during a 3597 trading day period from 1997 to yesterday (using Yahoo's adjusted prices). There turns out to be a few papers on price limits and international markets.
Showing posts with label arbitrage. Show all posts
Showing posts with label arbitrage. Show all posts
Friday, January 27, 2012
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