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Price limits on a call auction market: Evidence from the Warsaw Stock Exchange

  • Henke, Harald
  • Voronkova, Svitlana
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    File URL: http://www.sciencedirect.com/science/article/B6W4V-4CDJH1F-1/2/48c13ad10264fc5e1759e3c3f228a1f7
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    Article provided by Elsevier in its journal International Review of Economics & Finance.

    Volume (Year): 14 (2005)
    Issue (Month): 4 ()
    Pages: 439-453

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    Handle: RePEc:eee:reveco:v:14:y:2005:i:4:p:439-453
    Contact details of provider: Web page: http://www.elsevier.com/locate/inca/620165

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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. Gikas A. Hardouvelis, 1989. "Margin requirements, volatility and the transitory component of stock prices," Research Paper 8909, Federal Reserve Bank of New York.
    3. 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.
    4. Shen, Chung-Hua & Wang, Lee-Rong, 1998. "Daily serial correlation, trading volume and price limits: Evidence from the Taiwan stock market," Pacific-Basin Finance Journal, Elsevier, vol. 6(3-4), pages 251-273, August.
    5. Pagan, Adrian R. & Schwert, G. William, 1990. "Alternative models for conditional stock volatility," Journal of Econometrics, Elsevier, vol. 45(1-2), pages 267-290.
    6. Cho, David D. & Russell, Jeffrey & Tiao, George C. & Tsay, Ruey, 2003. "The magnet effect of price limits: evidence from high-frequency data on Taiwan Stock Exchange," Journal of Empirical Finance, Elsevier, vol. 10(1-2), pages 133-168, February.
    7. 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.
    8. Engle, Robert F & Ng, Victor K, 1993. " Measuring and Testing the Impact of News on Volatility," Journal of Finance, American Finance Association, vol. 48(5), pages 1749-78, December.
    9. Chen, Yea-Mow, 1993. "Price limits and stock market volatility in Taiwan," Pacific-Basin Finance Journal, Elsevier, vol. 1(2), pages 139-153, May.
    10. Tim Bollerslev, 1986. "Generalized autoregressive conditional heteroskedasticity," EERI Research Paper Series EERI RP 1986/01, Economics and Econometrics Research Institute (EERI), Brussels.
    11. Kate Phylaktis & Manolis Kavussanos & Gikas Manalis, 1999. "Price Limits and Stock Market Volatility in the Athens Stock Exchange," European Financial Management, European Financial Management Association, vol. 5(1), pages 69-84.
    12. Huang, Yen-Sheng & Fu, Tze-Wei & Ke, Mei-Chu, 2001. "Daily price limits and stock price behavior: evidence from the Taiwan stock exchange," International Review of Economics & Finance, Elsevier, vol. 10(3), pages 263-288, July.
    13. Hsieh, David A & Miller, Merton H, 1990. " Margin Regulation and Stock Market Volatility," Journal of Finance, American Finance Association, vol. 45(1), pages 3-29, March.
    14. Madhavan, Ananth, 1992. " Trading Mechanisms in Securities Markets," Journal of Finance, American Finance Association, vol. 47(2), pages 607-41, June.
    15. Wu, Guojun, 2001. "The Determinants of Asymmetric Volatility," Review of Financial Studies, Society for Financial Studies, vol. 14(3), pages 837-59.
    16. 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.
    17. Brennan, Michael J., 1986. "A theory of price limits in futures markets," Journal of Financial Economics, Elsevier, vol. 16(2), pages 213-233, June.
    18. Miller, M.H., 1989. "Commentary: Volatility, Prices Resolution, And Effectiveness Of Price Limits," Papers t8, Columbia - Center for Futures Markets.
    19. Christopher K. Ma & Ramesh P. Rao & R. Stephen Sears, 1989. "Limit moves and price resolution: The case of the treasury bond futures market," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 9(4), pages 321-335, 08.
    20. Lehmann, B.N., 1989. "Commentary: Volatility, Price Resolution, And The Effectiveness Of Price Limits," Papers t9, Columbia - Center for Futures Markets.
    21. Chowdhry, Bhagwan & Nanda, Vikram, 1998. "Leverage and Market Stability: The Role of Margin Rules and Price Limits," The Journal of Business, University of Chicago Press, vol. 71(2), pages 179-210, April.
    22. Haiwei Chen, 2002. "Price Limits and Margin Requirements in Futures Markets," The Financial Review, Eastern Finance Association, vol. 37(1), pages 105-121, 02.
    23. 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.
    24. Kim, Kenneth A., 2001. "Price limits and stock market volatility," Economics Letters, Elsevier, vol. 71(1), pages 131-136, April.
    25. Pagano, Marco & Roell, Ailsa, 1996. " Transparency and Liquidity: A Comparison of Auction and Dealer Markets with Informed Trading," Journal of Finance, American Finance Association, vol. 51(2), pages 579-611, June.
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