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Do Daily Price Limits Act as Magnets? The Case of Treasury Bond Futures

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  • Marcelle Arak
  • Richard Cook

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  • Marcelle Arak & Richard Cook, 1997. "Do Daily Price Limits Act as Magnets? The Case of Treasury Bond Futures," Journal of Financial Services Research, Springer;Western Finance Association, vol. 12(1), pages 5-20, August.
  • Handle: RePEc:kap:jfsres:v:12:y:1997:i:1:p:5-20 DOI: 10.1023/A:1007955909944
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    References listed on IDEAS

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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. 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, August.
    3. repec:hrv:faseco:33077905 is not listed on IDEAS
    4. Isaac, R Mark & Plott, Charles R, 1981. "Price Controls and the Behavior of Auction Markets: An Experimental Examination," American Economic Review, American Economic Association, pages 448-459.
    5. Brock, William A. & Kleidon, Allan W., 1992. "Periodic market closure and trading volume : A model of intraday bids and asks," Journal of Economic Dynamics and Control, Elsevier, vol. 16(3-4), pages 451-489.
    6. Shleifer, Andrei & Summers, Lawrence H, 1990. "The Noise Trader Approach to Finance," Journal of Economic Perspectives, American Economic Association, vol. 4(2), pages 19-33, Spring.
    7. Lucy F. Ackert & William C. Hunter, 1989. "Tests of a simple optimizing model of daily price limits on futures contracts," FRB Atlanta Working Paper 89-10, Federal Reserve Bank of Atlanta.
    8. Gerald D. Gay & Jayant R. Kale & Robert W. Kolb & Thomas H. Noe, 1994. "(Micro) fads in asset prices: Evidence from the futures market," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 14(6), pages 637-659, September.
    9. Christopher K. Ma & William H. Dare & Darla R. Donaldson, 1990. "Testing rationality in futures markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 10(2), pages 137-152, April.
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    Citations

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    Cited by:

    1. Friedmann, Ralph & Sanddorf-Kohle, Walter G., 2007. "A conditional distribution model for limited stock index returns," Journal of Economic Dynamics and Control, Elsevier, vol. 31(3), pages 721-741, March.
    2. repec:eee:phsmap:v:490:y:2018:i:c:p:953-966 is not listed on IDEAS
    3. Gao-Feng Gu & Xiong Xiong & Hai-Chuan Xu & Wei Zhang & Yong-Jie Zhang & Wei Chen & Wei-Xing Zhou, 2017. "An empirical behavioural order-driven model with price limit rules," Papers 1704.04354, arXiv.org.
    4. Levy, Tamir & Yagil, Joseph, 2005. "Observed versus theoretical prices under price limit regimes," Journal of Economics and Business, Elsevier, vol. 57(3), pages 208-237.
    5. Wu, Ting & Wang, Yue & Li, Ming-Xia, 2017. "Post-hit dynamics of price limit hits in the Chinese stock markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 465(C), pages 464-471.
    6. Wong, Woon K. & Liu, Bo & Zeng, Yong, 2009. "Can price limits help when the price is falling? Evidence from transactions data on the Shanghai Stock Exchange," China Economic Review, Elsevier, vol. 20(1), pages 91-102, March.
    7. Marcelo Fernandes & Marco Aurélio Dos Santos Rocha, 0. "Are price limits on futures markets that cool? Evidence from the Brazilian Mercantile and Futures Exchange," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 5(2), pages 219-242.
    8. 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.
    9. 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.
    10. Sifat, Imtiaz Mohammad & Mohamad, Azhar, 2015. "Order imbalance and selling aggression under a shorting ban: Evidence from the UK," International Review of Financial Analysis, Elsevier, vol. 42(C), pages 368-379.
    11. Kim, Yong H. & Yang, J. Jimmy, 2008. "The effect of price limits on intraday volatility and information asymmetry," Pacific-Basin Finance Journal, Elsevier, vol. 16(5), pages 522-538, November.
    12. Wong, Woon K. & Chang, Matthew C. & Tu, Anthony H., 2009. "Are magnet effects caused by uninformed traders? Evidence from Taiwan Stock Exchange," Pacific-Basin Finance Journal, Elsevier, vol. 17(1), pages 28-40, January.
    13. 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.
    14. Levy, Tamir & Qadan, Mahmod & Yagil, Joseph, 2013. "Predicting the limit-hit frequency in futures contracts," International Review of Financial Analysis, Elsevier, vol. 30(C), pages 141-148.
    15. Chou, Pin-Huang & Lin, Mei-Chen & Yu, Min-Teh, 2005. "Risk aversion and price limits in futures markets," Finance Research Letters, Elsevier, vol. 2(3), pages 173-184, September.
    16. Hsieh, Ping-Hung & Kim, Yong H. & Yang, J. Jimmy, 2009. "The magnet effect of price limits: A logit approach," Journal of Empirical Finance, Elsevier, vol. 16(5), pages 830-837, December.

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