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The effectiveness of price limits in an emerging market: Evidence from the Korean Stock Exchange

  • Berkman, Henk
  • Lee, John Byong Tek
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    File URL: http://www.sciencedirect.com/science/article/B6VFF-45D1B43-1/2/9b217c311e0fc64625f13219f37e312a
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    Article provided by Elsevier in its journal Pacific-Basin Finance Journal.

    Volume (Year): 10 (2002)
    Issue (Month): 5 (November)
    Pages: 517-530

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    Handle: RePEc:eee:pacfin:v:10:y:2002:i:5:p:517-530
    Contact details of provider: Web page: http://www.elsevier.com/locate/pacfin

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    1. Harris, Lawrence, 1990. "Estimation of Stock Price Variances and Serial Covariances from Discrete Observations," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 25(03), pages 291-306, September.
    2. Parkinson, Michael, 1980. "The Extreme Value Method for Estimating the Variance of the Rate of Return," The Journal of Business, University of Chicago Press, vol. 53(1), pages 61-65, January.
    3. Hasbrouck, Joel, 1988. "Trades, quotes, inventories, and information," Journal of Financial Economics, Elsevier, vol. 22(2), pages 229-252, December.
    4. Kim, Kenneth A. & Limpaphayom, Piman, 2000. "Characteristics of stocks that frequently hit price limits: Empirical evidence from Taiwan and Thailand," Journal of Financial Markets, Elsevier, vol. 3(3), pages 315-332, August.
    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. Lehmann, B.N., 1989. "Commentary: Volatility, Price Resolution, And The Effectiveness Of Price Limits," Papers t9, Columbia - Center for Futures Markets.
    7. Roll, R., 1989. "Price Volatility, International Market Links, And Their Implications For Regulatory Policies," Papers t10, Columbia - Center for Futures Markets.
    8. Bruce N. Lehmann and David M. Modest., 1994. "Trading and Liquidity on the Tokyo Stock Exchange: A Bird's Eye View," Research Program in Finance Working Papers RPF-234, University of California at Berkeley.
    9. Miller, M.H., 1989. "Commentary: Volatility, Prices Resolution, And Effectiveness Of Price Limits," Papers t8, Columbia - Center for Futures Markets.
    10. 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.
    11. Kim, Kenneth A., 2001. "Price limits and stock market volatility," Economics Letters, Elsevier, vol. 71(1), pages 131-136, April.
    12. Lehmann, Bruce N & Modest, David M, 1994. " Trading and Liquidity on the Tokyo Stock Exchange: A Bird's Eye View," Journal of Finance, American Finance Association, vol. 49(3), pages 951-84, July.
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