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Circuit breakers and stock market volatility

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  • G. J. Santoni
  • Tung Liu

Abstract

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  • G. J. Santoni & Tung Liu, 1993. "Circuit breakers and stock market volatility," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 13(3), pages 261-277, May.
    • Handle: RePEc:wly:jfutmk:v:13:y:1993:i:3:p:261-277
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    Citations

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    Cited by:

    1. Leal, Sandrine Jacob & Napoletano, Mauro, 2019. "Market stability vs. market resilience: Regulatory policies experiments in an agent-based model with low- and high-frequency trading," Journal of Economic Behavior & Organization, Elsevier, vol. 157(C), pages 15-41.
    2. repec:hal:spmain:info:hdl:2441/6ummnc8nko827b2luohnctekk7 is not listed on IDEAS
    3. A. Tolga Ergun, 2009. "NYSE Rule 80A restrictions on index arbitrage and market linkage," Applied Financial Economics, Taylor & Francis Journals, vol. 19(20), pages 1675-1685.
    4. G. Booth & John Broussard, 1998. "Setting NYSE Circuit Breaker Triggers," Journal of Financial Services Research, Springer;Western Finance Association, vol. 13(3), pages 187-204, June.
    5. Sandrine Jacob Leal & Mauro Napoletano, 2017. "Market Stability vs. Market Resilience: Regulatory Policies Experiments in an Agent-Based Model with Low- and High-Frequency Trading," Post-Print hal-01768876, HAL.
    6. Ackert, Lucy F. & Church, Bryan & Jayaraman, Narayanan, 2001. "An experimental study of circuit breakers: The effects of mandated market closures and temporary halts on market behavior," Journal of Financial Markets, Elsevier, vol. 4(2), pages 185-208, April.
    7. Li, Zeguang & Hou, Keqiang & Zhang, Chao, 2021. "The impacts of circuit breakers on China's stock market," Pacific-Basin Finance Journal, Elsevier, vol. 68(C).
    8. Kun Li, 2019. "Do Circuit Breakers Impede Trading Behavior? A Study In Chinese Financial Market," The Singapore Economic Review (SER), World Scientific Publishing Co. Pte. Ltd., vol. 64(05), pages 1-18, December.
    9. Imtiaz Mohammad Sifat & Azhar Mohamad, 2019. "Circuit breakers as market stability levers: A survey of research, praxis, and challenges," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 24(3), pages 1130-1169, July.
    10. John W. Galbraith, 2004. "Circuit Breakers and the Tail Index of Equity Returns," Journal of Financial Econometrics, Oxford University Press, vol. 2(1), pages 109-129.
    11. Márcio P. Laurini & Pedro Chaim, 2021. "Brazilian stock market bubble in the 2010s," SN Business & Economics, Springer, vol. 1(1), pages 1-19, January.
    12. Farag, Hisham, 2013. "Price limit bands, asymmetric volatility and stock market anomalies: Evidence from emerging markets," Global Finance Journal, Elsevier, vol. 24(1), pages 85-97.
    13. Lucy Ackert & Jonathan Hao & William Hunter, 1997. "The effect of circuit breakers on expected volatility: Tests using implied volatilities," Atlantic Economic Journal, Springer;International Atlantic Economic Society, vol. 25(2), pages 117-127, June.
    14. 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.
    15. repec:hal:spmain:info:hdl:2441/3utlh0ehcn860pus6p2p683ade is not listed on IDEAS
    16. Cheoljun Eom & Steven J. Jordan & Woo‐Baik Lee & Jong Won Park, 2020. "Programs trades and trade regulation: An evidence of the Korean securities market," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(1), pages 44-66, January.

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