The effects of price limits on trading volume: a study of the cotton futures market
AbstractWill trading volume shift from a market with price limits to a closely related market without them? An examination of the U.S. cotton market reveals that trading volume does in fact move from a class of security that is subject to trading limits (cotton futures) to another that is not (options on cotton futures). The results add to the debate on trading limits by calling into question the limits' overall effectiveness.
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Bibliographic InfoArticle provided by Federal Reserve Bank of New York in its journal Current Issues in Economics and Finance.
Volume (Year): (1997)
Issue (Month): Jan ()
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- Kodres, Laura E & O'Brien, Daniel P, 1994. "The Existence of Pareto-Superior Price Limits," American Economic Review, American Economic Association, vol. 84(4), pages 919-32, September.
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- Joan Evans & James M. Mahoney, 1996. "The effects of daily price limits on cotton futures and options trading," Research Paper 9627, Federal Reserve Bank of New York.
- Anthony D. Hall & Paul Kofman & Steve Manaster, 2001. "Migration of Price Discovery With Constrained Futures Markets," Research Paper Series 70, Quantitative Finance Research Centre, University of Technology, Sydney.
- Waldenström, Daniel, 2005. "Does Sovereign Risk Differ for Domestic and Foreign Investors? Historical Evidence from Scandinavian Bond Markets," Working Paper Series in Economics and Finance 585, Stockholm School of Economics, revised 18 Feb 2005.
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