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The Effect of Price Limits on Unconditional Volatility: The Case of CASE

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Author Info
Medhat Hassanein, Eskandar A. Tooma () (The American University in Cairo)
Abstract

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Article provided by Lille Graduate School of Management in its journal Frontiers in Finance and Economics.

Volume (Year): 4 (2007)
Issue (Month): 1 (June)
Pages: 125-143
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Handle: RePEc:ffe:journl:v:4:y:2007:i:1:p:125-143

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Related research
Keywords: price limits; circuit breakers; stock market volatility; Egyptian stock exchange;

Find related papers by JEL classification:
G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies
G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
G18 - Financial Economics - - General Financial Markets - - - Government Policy and Regulation

References listed on IDEAS
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  1. 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. [Downloadable!] (restricted)
  2. Subrahmanyam, Avanidhar, 1994. " Circuit Breakers and Market Volatility: A Theoretical Perspective," Journal of Finance, American Finance Association, vol. 49(1), pages 237-54, March. [Downloadable!] (restricted)
  3. 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. [Downloadable!] (restricted)
  4. Lehmann, B.N., 1989. "Commentary: Volatility, Price Resolution, And The Effectiveness Of Price Limits," Papers t9, Columbia - Center for Futures Markets.
  5. 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.
  6. Andersen, Torben G, 1996. " Return Volatility and Trading Volume: An Information Flow Interpretation of Stochastic Volatility," Journal of Finance, American Finance Association, vol. 51(1), pages 169-204, March. [Downloadable!] (restricted)
  7. Handa, Puneet & Schwartz, Robert A, 1996. " Limit Order Trading," Journal of Finance, American Finance Association, vol. 51(5), pages 1835-61, December. [Downloadable!] (restricted)
  8. Miller, M.H., 1989. "Commentary: Volatility, Prices Resolution, And Effectiveness Of Price Limits," Papers t8, Columbia - Center for Futures Markets.
  9. Mauro Mecagni & Maged Sawky Sourial, 1999. "The Egyptian Stock Market - Efficiency Tests and Volatility Effects," IMF Working Papers 99/48, International Monetary Fund.
  10. 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. [Downloadable!] (restricted)
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