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Limit Moves And Price Resolution: The Case Of The Treasury Bond Futures Markets

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Author Info

  • MA, C.K.
  • RAO, R.P.
  • SEARS, R.S.

Abstract

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Bibliographic Info

Paper provided by Columbia - Center for Futures Markets in its series Papers with number 177.

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Length: 15 pages
Date of creation: 1988
Date of revision:
Handle: RePEc:fth:colufu:177

Contact details of provider:
Postal: COLUMBIA UNIVERSITY, CENTER FOR THE STUDY OF FUTURE MARKETS, BUSINESS SCHOOL, MORNING SIDE HEIGHTS NY NEW YORK 10027 U.S.A..
Phone: (212) 854-5553
Web page: http://www.columbia.edu/cu/business/
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Related research

Keywords: market ; prices ; information;

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Cited by:
  1. 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.
  2. Lucy Ackert & Jonathan Hao & William Hunter, 1997. "The effect of circuit breakers on expected volatility: Tests using implied volatilities," Atlantic Economic Journal, International Atlantic Economic Society, vol. 25(2), pages 117-127, June.
  3. Anthony D. Hall & Paul Kofman & R. Guido, 1998. "Limits to Linear Price Behaviour: Target Zones for Futures Prices Regulated By Limits," Research Paper Series 3, Quantitative Finance Research Centre, University of Technology, Sydney.
  4. Marcelle Arak & Richard Cook, 1997. "Do Daily Price Limits Act as Magnets? The Case of Treasury Bond Futures," Journal of Financial Services Research, Springer, vol. 12(1), pages 5-20, August.
  5. 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.

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