Do Daily Price Limits Act as Magnets? The Case of Treasury Bond Futures
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DOI: 10.1023/A:1007955909944
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References listed on IDEAS
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Citations
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Cited by:
- 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.
- repec:eee:phsmap:v:490:y:2018:i:c:p:953-966 is not listed on IDEAS
- 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.
- 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.
- 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.
- 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.
- Linton, O. & Mahmoodzadeh, S., 2018. "Implications of High-Frequency Trading for Security Markets," Cambridge Working Papers in Economics 1802, Faculty of Economics, University of Cambridge.
- 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.
- Marcelo Fernandes & Marco Aurélio dos Santos Rocha, 2006. "Are Price Limits on Futures Markets That Cool? Evidence from the Brazilian Mercantile and Futures Exchange," Working Papers 579, Queen Mary University of London, School of Economics and Finance.
- Fernandes, Marcelo & Rocha, Marco Aurélio dos Santos, 2006. "Are price limits on futures markets that cool?: evidence from the Brazilian Mercantile and Futures Exchange," FGV/EPGE Economics Working Papers (Ensaios Economicos da EPGE) 630, FGV/EPGE - Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil).
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- repec:spr:annopr:v:260:y:2018:i:1:d:10.1007_s10479-016-2317-y is not listed on IDEAS
- 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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