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Risk aversion and price limits in futures markets

  • Chou, Pin-Huang
  • Lin, Mei-Chen
  • Yu, Min-Teh

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File URL: http://www.sciencedirect.com/science/article/B7CPP-4GMGWFB-1/2/d43f789834fc5015d0b93a00bbbc61d5
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Article provided by Elsevier in its journal Finance Research Letters.

Volume (Year): 2 (2005)
Issue (Month): 3 (September)
Pages: 173-184

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Handle: RePEc:eee:finlet:v:2:y:2005:i:3:p:173-184
Contact details of provider: Web page: http://www.elsevier.com/locate/frl

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  1. 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.
  2. Lawrence Harris, 1997. "Circuit Breakers and Program Trading Limits: What Have We Learned?," Center for Financial Institutions Working Papers 97-50, Wharton School Center for Financial Institutions, University of Pennsylvania.
  3. Brennan, Michael J., 1986. "A theory of price limits in futures markets," Journal of Financial Economics, Elsevier, vol. 16(2), pages 213-233, June.
  4. Lehmann, B.N., 1989. "Commentary: Volatility, Price Resolution, And The Effectiveness Of Price Limits," Papers t9, Columbia - Center for Futures Markets.
  5. 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.
  6. Subrahmanyam, Avanidhar, 1994. " Circuit Breakers and Market Volatility: A Theoretical Perspective," Journal of Finance, American Finance Association, vol. 49(1), pages 237-54, March.
  7. Greenwald, Bruce C. & Stein, Jeremy C., 1991. "Transactional Risk, Market Crashes, and the Role of Circuit Breakers," Scholarly Articles 3710666, Harvard University Department of Economics.
  8. Ma, C.K. & Rao, R.P. & Sears, R.S., 1989. "Volatility, Price Resolution, And The Effectiveness Of Price Limits," Papers t7, Columbia - Center for Futures Markets.
  9. 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.
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