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

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  • Medhat Hassanein, Eskandar A. Tooma

    () (The American University in Cairo)

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    File URL: http://www.ffe.esc-lille.com/papers/hassanein.pdf
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    Bibliographic Info

    Article provided by SKEMA Business School 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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    Web page: http://www.ffe.esc-lille.com

    Related research

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

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    References

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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.
    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.
    3. 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.
    4. Handa, Puneet & Schwartz, Robert A, 1996. " Limit Order Trading," Journal of Finance, American Finance Association, vol. 51(5), pages 1835-61, December.
    5. 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.
    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. Lehmann, B.N., 1989. "Commentary: Volatility, Price Resolution, And The Effectiveness Of Price Limits," Papers t9, Columbia - Center for Futures Markets.
    8. Mauro Mecagni & Maged Sawky Sourial, 1999. "The Egyptian Stock Market - Efficiency Tests and Volatility Effects," IMF Working Papers 99/48, International Monetary Fund.
    9. 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.
    10. Miller, M.H., 1989. "Commentary: Volatility, Prices Resolution, And Effectiveness Of Price Limits," Papers t8, Columbia - Center for Futures Markets.
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