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Risk aversion and price limits in futures markets

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  • Chou, Pin-Huang
  • Lin, Mei-Chen
  • Yu, Min-Teh

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Bibliographic Info

Article provided by Elsevier in its journal Finance Research Letters.

Volume (Year): 2 (2005)
Issue (Month): 3 (September)
Pages: 173-184

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Handle: RePEc:eee:finlet:v:2:y:2005:i:3:p:173-184

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Web page: http://www.elsevier.com/locate/frl

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References

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  1. Brennan, Michael J., 1986. "A theory of price limits in futures markets," Journal of Financial Economics, Elsevier, vol. 16(2), pages 213-233, June.
  2. 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.
  3. Lawrence Harris, 1997. "Circuit Breakers and Program Trading Limits: What Have We Learned?," Center for Financial Institutions Working Papers 97-50, Wharton School Center for Financial Institutions, University of Pennsylvania.
  4. 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.
  5. 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.
  6. 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.
  7. Subrahmanyam, Avanidhar, 1994. " Circuit Breakers and Market Volatility: A Theoretical Perspective," Journal of Finance, American Finance Association, vol. 49(1), pages 237-54, March.
  8. 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.
  9. Lehmann, B.N., 1989. "Commentary: Volatility, Price Resolution, And The Effectiveness Of Price Limits," Papers t9, Columbia - Center for Futures Markets.
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Cited by:
  1. 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.
  2. Levy, Tamir & Qadan, Mahmod & Yagil, Joseph, 2013. "Predicting the limit-hit frequency in futures contracts," International Review of Financial Analysis, Elsevier, vol. 30(C), pages 141-148.
  3. Lin, Mei-Chen & Chou, Pin-Huang, 2011. "Prospect theory and the effectiveness of price limits," Pacific-Basin Finance Journal, Elsevier, vol. 19(3), pages 330-349, June.

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