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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. 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.
    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, vol. 71(3), pages 448-459, June.
    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. 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.
    7. 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.
    8. 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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