Do Daily Price Limits Act as Magnets? The Case of Treasury Bond Futures
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 Springer in its journal Journal of Financial Services Research.
Volume (Year): 12 (1997)
Issue (Month): 1 (August)
Contact details of provider:
Web page: http://www.springerlink.com/link.asp?id=102934
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.:
- 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.
- 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.
- Isaac, R. Mark & Plott, Charles R., . "Price Controls and the Behavior of Auction Markets: An Experimental Examination," Working Papers 253, California Institute of Technology, Division of the Humanities and Social Sciences.
- 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.
- Brennan, Michael J., 1986. "A theory of price limits in futures markets," Journal of Financial Economics, Elsevier, vol. 16(2), pages 213-233, June.
- 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.
- 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.
- Wong, Woon K. & Liu, Bo & Zeng, Yong, 2009. "Can price limits help when the price is falling? Evidence from transactions data on the Shanghai Stock Exchange," China Economic Review, Elsevier, vol. 20(1), pages 91-102, March.
- Veld-Merkoulova, Yulia V., 2003. "Price limits in futures markets: effects on the price discovery process and volatility," International Review of Financial Analysis, Elsevier, vol. 12(3), pages 311-328.
- Huang, Yen-Sheng & Fu, Tze-Wei & Ke, Mei-Chu, 2001. "Daily price limits and stock price behavior: evidence from the Taiwan stock exchange," International Review of Economics & Finance, Elsevier, vol. 10(3), pages 263-288, July.
- Chou, Pin-Huang & Lin, Mei-Chen & Yu, Min-Teh, 2005. "Risk aversion and price limits in futures markets," Finance Research Letters, Elsevier, vol. 2(3), pages 173-184, September.
- Fernandes, Marcelo & Rocha, Marco Aurélio dos Santos, 2006.
"Are price limits on futures markets that cool? Evidence from the Brazilian Mercantile and Futures Exchange,"
Economics Working Papers (Ensaios Economicos da EPGE)
630, FGV/EPGE Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil).
- Marcelo Fernandes & Marco Aur�lio dos Santos Rocha, 2006. "Are Price Limits on Futures Markets That Cool? Evidence from the Brazilian Mercantile and Futures Exchange," Working Papers 579, Queen Mary, University of London, School of Economics and Finance.
- Hsieh, Ping-Hung & Kim, Yong H. & Yang, J. Jimmy, 2009. "The magnet effect of price limits: A logit approach," Journal of Empirical Finance, Elsevier, vol. 16(5), pages 830-837, December.
- Kim, Yong H. & Yang, J. Jimmy, 2008. "The effect of price limits on intraday volatility and information asymmetry," Pacific-Basin Finance Journal, Elsevier, vol. 16(5), pages 522-538, November.
- Wong, Woon K. & Chang, Matthew C. & Tu, Anthony H., 2009. "Are magnet effects caused by uninformed traders? Evidence from Taiwan Stock Exchange," Pacific-Basin Finance Journal, Elsevier, vol. 17(1), pages 28-40, January.
- Cho, David D. & Russell, Jeffrey & Tiao, George C. & Tsay, Ruey, 2003. "The magnet effect of price limits: evidence from high-frequency data on Taiwan Stock Exchange," Journal of Empirical Finance, Elsevier, vol. 10(1-2), pages 133-168, February.
- Friedmann, Ralph & Sanddorf-Kohle, Walter G., 2007. "A conditional distribution model for limited stock index returns," Journal of Economic Dynamics and Control, Elsevier, vol. 31(3), pages 721-741, March.
- Levy, Tamir & Qadan, Mahmod & Yagil, Joseph, 2013. "Predicting the limit-hit frequency in futures contracts," International Review of Financial Analysis, Elsevier, vol. 30(C), pages 141-148.
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.