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The magnet effect of price limits: evidence from high-frequency data on Taiwan Stock Exchange

  • Cho, David D.
  • Russell, Jeffrey
  • Tiao, George C.
  • Tsay, Ruey
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    File URL: http://www.sciencedirect.com/science/article/B6VFG-47X6PKX-4/2/52d9607d4c75d185273ae703b49cee25
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    Article provided by Elsevier in its journal Journal of Empirical Finance.

    Volume (Year): 10 (2003)
    Issue (Month): 1-2 (February)
    Pages: 133-168

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    Handle: RePEc:eee:empfin:v:10:y:2003:i:1-2:p:133-168
    Contact details of provider: Web page: http://www.elsevier.com/locate/jempfin

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    1. Brennan, Michael J., 1986. "A theory of price limits in futures markets," Journal of Financial Economics, Elsevier, vol. 16(2), pages 213-233, June.
    2. 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.
    3. Subrahmanyam, Avanidhar, 1994. " Circuit Breakers and Market Volatility: A Theoretical Perspective," Journal of Finance, American Finance Association, vol. 49(1), pages 237-54, March.
    4. Kim, Kenneth & Rhee, S Ghon, 1997. " Price Limit Performance: Evidence from the Tokyo Stock Exchange," Journal of Finance, American Finance Association, vol. 52(2), pages 885-99, June.
    5. Andersen, Torben G. & Bollerslev, Tim, 1997. "Intraday periodicity and volatility persistence in financial markets," Journal of Empirical Finance, Elsevier, vol. 4(2-3), pages 115-158, June.
    6. Lee, Charles M C & Ready, Mark J & Seguin, Paul J, 1994. " Volume, Volatility, and New York Stock Exchange Trading Halts," Journal of Finance, American Finance Association, vol. 49(1), pages 183-214, March.
    7. Lehmann, B.N., 1989. "Commentary: Volatility, Price Resolution, And The Effectiveness Of Price Limits," Papers t9, Columbia - Center for Futures Markets.
    8. Jegadeesh, Narasimhan & Titman, Sheridan, 1993. " Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency," Journal of Finance, American Finance Association, vol. 48(1), pages 65-91, March.
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