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Do price limits hurt the market?

Listed author(s):
  • Chia-Hsuan Yeh

    ()

  • Chun-Yi Yang

    ()

Registered author(s):

    Under an artificial stock market composed of bounded-rational and heterogeneous traders, this paper examines whether or not price limits generate the negative effects on the market. Through testing the volatility spillover hypothesis, the delayed price discovery hypothesis, and the trading interference hypothesis, we find that no evidence of volatility spillover is observed. However, the phenomena of delayed price discovery and trading interference indeed exist, and their significance depends on the level of the price limits. Copyright Springer-Verlag Berlin Heidelberg 2013

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    File URL: http://hdl.handle.net/10.1007/s11403-012-0107-4
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    Article provided by Springer & Society for Economic Science with Heterogeneous Interacting Agents in its journal Journal of Economic Interaction and Coordination.

    Volume (Year): 8 (2013)
    Issue (Month): 1 (April)
    Pages: 125-153

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    Handle: RePEc:spr:jeicoo:v:8:y:2013:i:1:p:125-153
    DOI: 10.1007/s11403-012-0107-4
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