The effect of circuit breakers on expected volatility: Tests using implied volatilities
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.
Bibliographic InfoArticle provided by International Atlantic Economic Society in its journal Atlantic Economic Journal.
Volume (Year): 25 (1997)
Issue (Month): 2 (June)
Contact details of provider:
Postal: Suite 650, International Tower, 229 Peachtree Street, N.E., Atlanta, GA 30303
Phone: (404) 965-1555
Fax: (404) 965-1556
Web page: http://springerlink.metapress.com/link.asp?id=112055
More information through EDIRC
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.:
- Subrahmanyam, Avanidhar, 1994. " Circuit Breakers and Market Volatility: A Theoretical Perspective," Journal of Finance, American Finance Association, vol. 49(1), pages 237-54, March.
- Gerety, Mason S & Mulherin, J Harold, 1992. " Trading Halts and Market Activity: An Analysis of Volume at the Open and the Close," Journal of Finance, American Finance Association, vol. 47(5), pages 1765-84, December.
- Ma, C.K. & Rao, R.P. & Sears, R.S., 1988. "Limit Moves And Price Resolution: The Case Of The Treasury Bond Futures Markets," Papers 177, Columbia - Center for Futures Markets.
- 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.
- Dickey, David A & Fuller, Wayne A, 1981. "Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root," Econometrica, Econometric Society, vol. 49(4), pages 1057-72, June.
- Lamoureux, Christopher G & Lastrapes, William D, 1990. " Heteroskedasticity in Stock Return Data: Volume versus GARCH Effects," Journal of Finance, American Finance Association, vol. 45(1), pages 221-29, March.
- James G. MacKinnon, 2010.
"Critical Values for Cointegration Tests,"
1227, Queen's University, Department of Economics.
- Black, Fischer & Scholes, Myron S, 1973. "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 637-54, May-June.
- Karpoff, Jonathan M., 1987. "The Relation between Price Changes and Trading Volume: A Survey," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 22(01), pages 109-126, March.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Guenther Eichhorn) or (Christopher F. Baum).
If references are entirely missing, you can add them using this form.