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Do Daily Price Limits Act as Magnets? The Case of Treasury Bond Futures

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Author Info
Marcelle Arak
Richard Cook
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File URL: http://hdl.handle.net/10.1023/A:1007955909944
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Article provided by Springer in its journal Journal of Financial Services Research.

Volume (Year): 12 (1997)
Issue (Month): 1 (August)
Pages: 5-20
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Handle: RePEc:kap:jfsres:v:12:y:1997:i:1:p:5-20

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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.:

  1. Lucy F. Ackert & William C. Hunter, 1989. "Tests of a simple optimizing model of daily price limits on futures contracts," Working Paper 89-10, Federal Reserve Bank of Atlanta.
  2. Brennan, Michael J., 1986. "A theory of price limits in futures markets," Journal of Financial Economics, Elsevier, vol. 16(2), pages 213-233, June. [Downloadable!] (restricted)
  3. Brock, William A. & Kleidon, Allan W., 1992. "Periodic market closure and trading volume : A model of intraday bids and asks," Journal of Economic Dynamics and Control, Elsevier, vol. 16(3-4), pages 451-489. [Downloadable!] (restricted)
  4. Isaac, R Mark & Plott, Charles R, 1981. "Price Controls and the Behavior of Auction Markets: An Experimental Examination," American Economic Review, American Economic Association, vol. 71(3), pages 448-59, June.
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  5. Shleifer, Andrei & Summers, Lawrence H, 1990. "The Noise Trader Approach to Finance," Journal of Economic Perspectives, American Economic Association, vol. 4(2), pages 19-33, Spring. [Downloadable!] (restricted)
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This page was last updated on 2009-12-8.

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