Price limits in futures markets: effects on the price discovery process and volatility
AbstractNo abstract is available for this item.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Bibliographic InfoArticle provided by Elsevier in its journal International Review of Financial Analysis.
Volume (Year): 12 (2003)
Issue (Month): 3 ()
Contact details of provider:
Web page: http://www.elsevier.com/locate/inca/620166
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Kate Phylaktis & Manolis Kavussanos & Gikas Manalis, 1999. "Price Limits and Stock Market Volatility in the Athens Stock Exchange," European Financial Management, European Financial Management Association, vol. 5(1), pages 69-84.
- Marcelle Arak & Richard Cook, 1997. "Do Daily Price Limits Act as Magnets? The Case of Treasury Bond Futures," Journal of Financial Services Research, Springer, vol. 12(1), pages 5-20, August.
- Lauterbach, Beni & Ben-Zion, Uri, 1993. " Stock Market Crashes and the Performance of Circuit Breakers: Empirical Evidence," Journal of Finance, American Finance Association, vol. 48(5), pages 1909-25, December.
- Greenwald, Bruce C & Stein, Jeremy C, 1991.
"Transactional Risk, Market Crashes, and the Role of Circuit Breakers,"
The Journal of Business,
University of Chicago Press, vol. 64(4), pages 443-62, October.
- Greenwald, Bruce C. & Stein, Jeremy C., 1991. "Transactional Risk, Market Crashes, and the Role of Circuit Breakers," Scholarly Articles 3710666, Harvard University Department of Economics.
- Kim, Kenneth & Rhee, S Ghon, 1997. " Price Limit Performance: Evidence from the Tokyo Stock Exchange," Journal of Finance, American Finance Association, vol. 52(2), pages 885-99, June.
- Glosten, Lawrence R & Jagannathan, Ravi & Runkle, David E, 1993.
" On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks,"
Journal of Finance,
American Finance Association, vol. 48(5), pages 1779-1801, December.
- Lawrence R. Glosten & Ravi Jagannathan & David E. Runkle, 1993. "On the relation between the expected value and the volatility of the nominal excess return on stocks," Staff Report 157, Federal Reserve Bank of Minneapolis.
- Ma, C.K. & Rao, R.P. & Sears, R.S., 1989. "Volatility, Price Resolution, And The Effectiveness Of Price Limits," Papers t7, Columbia - Center for Futures Markets.
- Brennan, Michael J., 1986. "A theory of price limits in futures markets," Journal of Financial Economics, Elsevier, vol. 16(2), pages 213-233, June.
- Lee, Charles M C & Ready, Mark J & Seguin, Paul J, 1994. " Volume, Volatility, and New York Stock Exchange Trading Halts," Journal of Finance, American Finance Association, vol. 49(1), pages 183-214, March.
- Huang, Yen-Sheng & Fu, Tze-Wei & Ke, Mei-Chu, 2001. "Daily price limits and stock price behavior: evidence from the Taiwan stock exchange," International Review of Economics & Finance, Elsevier, vol. 10(3), pages 263-288, July.
- Reiffen, David & Buyuksahin, Bahattin, 2010. "The puzzle of privately-imposed price limits: are the limits imposed by financial exchanges effective?," MPRA Paper 35927, University Library of Munich, Germany.
- Henke, Harald & Voronkova, Svitlana, 2005. "Price limits on a call auction market: Evidence from the Warsaw Stock Exchange," International Review of Economics & Finance, Elsevier, vol. 14(4), pages 439-453.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Zhang, Lei).
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.