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A new paradigm for forecasting security returns in a market regulated by price limits


  • Arie Harel


  • Giora Harpaz


  • Joseph Yagil



No abstract is available for this item.

Suggested Citation

  • Arie Harel & Giora Harpaz & Joseph Yagil, 2010. "A new paradigm for forecasting security returns in a market regulated by price limits," Review of Quantitative Finance and Accounting, Springer, vol. 35(1), pages 113-121, July.
  • Handle: RePEc:kap:rqfnac:v:35:y:2010:i:1:p:113-121
    DOI: 10.1007/s11156-009-0138-7

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    References listed on IDEAS

    1. Subrahmanyam, Avanidhar, 1994. " Circuit Breakers and Market Volatility: A Theoretical Perspective," Journal of Finance, American Finance Association, vol. 49(1), pages 237-254, March.
    2. Brennan, Michael J., 1986. "A theory of price limits in futures markets," Journal of Financial Economics, Elsevier, vol. 16(2), pages 213-233, June.
    3. L. Randall Wray & Stephanie Bell, 2004. "Introduction," Chapters,in: Credit and State Theories of Money, chapter 1 Edward Elgar Publishing.
    4. Kim, Kenneth A., 2001. "Price limits and stock market volatility," Economics Letters, Elsevier, vol. 71(1), pages 131-136, April.
    5. 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.
    6. 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 885-899, June.
    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.
    Full references (including those not matched with items on IDEAS)

    More about this item


    Bayesian forecasting; Security returns; Price limits; C11; C53; G10;

    JEL classification:

    • C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)


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