IDEAS home Printed from https://ideas.repec.org/r/bla/jfinan/v48y1993i5p1909-25.html
   My bibliography  Save this item

Stock Market Crashes and the Performance of Circuit Breakers: Empirical Evidence

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as


Cited by:

  1. Oh, Sekyung & Kee, Hyukdo & Park, Kinam, 2019. "Tail risk under price limits," Economic Modelling, Elsevier, vol. 77(C), pages 113-123.
  2. repec:hal:spmain:info:hdl:2441/3utlh0ehcn860pus6p2p683ade is not listed on IDEAS
  3. Chong, Terence Tai Leung & Kwok, Stanley, 2019. "The Impact of Shanghai-Hong Kong Stock Connect on the Effectiveness of Price Limits in the Chinese Stock Market," MPRA Paper 92185, University Library of Munich, Germany.
  4. Clapham, Benjamin & Gomber, Peter & Haferkorn, Martin & Panz, Sven, 2017. "Managing excess volatility: Design and effectiveness of circuit breakers," SAFE Working Paper Series 195, Leibniz Institute for Financial Research SAFE.
  5. Wang, Steven Shuye & Xu, Kuan & Zhang, Hao, 2019. "A microstructure study of circuit breakers in the Chinese stock markets," Pacific-Basin Finance Journal, Elsevier, vol. 57(C).
  6. Li, Zeguang & Hou, Keqiang & Zhang, Chao, 2021. "The impacts of circuit breakers on China's stock market," Pacific-Basin Finance Journal, Elsevier, vol. 68(C).
  7. James Brugler & Oliver Linton, 2014. "Circuit Breakers on the London Stock Exchange: Do they improve subsequent market quality?," Cambridge Working Papers in Economics 1453, Faculty of Economics, University of Cambridge.
  8. Kun Li, 2019. "Do Circuit Breakers Impede Trading Behavior? A Study In Chinese Financial Market," The Singapore Economic Review (SER), World Scientific Publishing Co. Pte. Ltd., vol. 64(05), pages 1-18, December.
  9. Tang, Siyuan, 2023. "Price limit performance: New evidence from a quasi-natural experiment in China's ChiNext market," International Review of Financial Analysis, Elsevier, vol. 89(C).
  10. Bian, Jiangze & Su, Tie & Wang, Jun, 2022. "Non-marketability and one-day selling lockup," Journal of Empirical Finance, Elsevier, vol. 65(C), pages 1-23.
  11. Leal, Sandrine Jacob & Napoletano, Mauro, 2019. "Market stability vs. market resilience: Regulatory policies experiments in an agent-based model with low- and high-frequency trading," Journal of Economic Behavior & Organization, Elsevier, vol. 157(C), pages 15-41.
  12. Wu, Xu & Wang, Pei-Yu & Wang, Kun, 2023. "The effect of stabilization fund to rescue stock market based on expected return-capita circulation equation," Socio-Economic Planning Sciences, Elsevier, vol. 87(PB).
  13. Oliver Linton & Soheil Mahmoodzadeh, 2018. "Implications of High-Frequency Trading for Security Markets," Annual Review of Economics, Annual Reviews, vol. 10(1), pages 237-259, August.
  14. Li, Mingsheng & McCormick, Timothy & Zhao, Xin, 2005. "Order imbalance and liquidity supply: Evidence from the bubble burst of Nasdaq stocks," Journal of Empirical Finance, Elsevier, vol. 12(4), pages 533-555, September.
  15. Antonio Cabrales & Antonio M. Espín & Praveen Kujal & Stephen Rassenti, 2017. "Humans’ (incorrect) distrust of reflective decisions," Working Papers 17-05, Chapman University, Economic Science Institute.
  16. Farag, Hisham, 2013. "Price limit bands, asymmetric volatility and stock market anomalies: Evidence from emerging markets," Global Finance Journal, Elsevier, vol. 24(1), pages 85-97.
  17. Wong, Kin Ming & Kong, Xiao Wei & Li, Min, 2020. "The magnet effect of circuit breakers and its interactions with price limits," Pacific-Basin Finance Journal, Elsevier, vol. 61(C).
  18. YongChern Su & HanChing Huang, 2008. "Dynamic causality between intraday return and order imbalance in NASDAQ speculative top gainers," Applied Financial Economics, Taylor & Francis Journals, vol. 18(18), pages 1489-1499.
  19. Imtiaz Mohammad Sifat & Azhar Mohamad, 2019. "Circuit breakers as market stability levers: A survey of research, praxis, and challenges," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 24(3), pages 1130-1169, July.
  20. Marcel Ausloos, 2013. "Econophysics: Comments on a Few Applications, Successes, Methods and Models," IIM Kozhikode Society & Management Review, , vol. 2(2), pages 101-115, July.
  21. Kitajima, Kiichi, 2022. "Passive investors and concentration of intraday liquidity: Evidence from the Tokyo Stock Exchange," Pacific-Basin Finance Journal, Elsevier, vol. 74(C).
  22. Clapham, Benjamin & Gomber, Peter & Haferkorn, Martin & Jentsch, Paul & Panz, Sven, 2018. "Circuit breakers: A survey among international trading venues," SAFE Working Paper Series 197, Leibniz Institute for Financial Research SAFE.
  23. Rassenti, Stephen & Espin, Antonio M. & Kujal, Praveen, 2017. "Humans’ (incorrect) distrust of reflective decisions," CEPR Discussion Papers 11949, C.E.P.R. Discussion Papers.
  24. Múnera, Daimer J. & Agudelo, Diego A., 2022. "Who moved my liquidity? Liquidity evaporation in emerging markets in periods of financial uncertainty," Journal of International Money and Finance, Elsevier, vol. 129(C).
  25. Wang, Dingyan & Chong, Terence Tai-Leung & Chan, Wing Hong, 2014. "Price Limits and Stock Market Volatility in China," MPRA Paper 54146, University Library of Munich, Germany.
  26. Jun Muranaga & Tokiko Shimizu, 1999. "Expectations and Market Microstructure When Liquidity is Lost," CGFS Papers chapters, in: Bank for International Settlements (ed.), Market Liquidity: Research Findings and Selected Policy Implications, volume 11, pages 1-14, Bank for International Settlements.
  27. Farag, Hisham, 2014. "The effectiveness of competing regulatory regimes and the switching effects: Evidence from an emerging market," Global Finance Journal, Elsevier, vol. 25(2), pages 136-147.
  28. Jun Muranaga & Tokiko Shimizu, 1999. "Market Microstructure and Market Liquidity," CGFS Papers chapters, in: Bank for International Settlements (ed.), Market Liquidity: Research Findings and Selected Policy Implications, volume 11, pages 1-28, Bank for International Settlements.
  29. Shmuel Hauser & Yael Tanchuma & Uzi Yaari, 1998. "International Transfer Of Pricing Information Between Dually Listed Stocks," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 21(2), pages 139-157, June.
  30. Wei, K. C. John & Chiang, Raymond, 2004. "A GMM approach for estimation of volatility and regression models when daily prices are subject to price limits," Pacific-Basin Finance Journal, Elsevier, vol. 12(4), pages 445-461, September.
  31. Chen, Haiqiang & Gu, Ming & Ni, Bo, 2023. "How price limit affects the market efficiency in a short-sale constrained market? Evidence from a quasi-natural experiment," Journal of Empirical Finance, Elsevier, vol. 73(C), pages 22-39.
  32. Yao, Jing & Zheng, Zexin, 2021. "Costly arbitrage and skewness pricing: Evidence from first-day price limit reform in China," Pacific-Basin Finance Journal, Elsevier, vol. 67(C).
  33. Chordia, Tarun & Roll, Richard & Subrahmanyam, Avanidhar, 2008. "Liquidity and market efficiency," Journal of Financial Economics, Elsevier, vol. 87(2), pages 249-268, February.
  34. 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.
  35. James Brugler & Oliver Linton, 2014. "Single stock circuit breakers on the London Stock Exchange: do they improve subsequent market quality?," CeMMAP working papers CWP07/14, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
  36. M. Ausloos & K. Ivanova & N. Vandewalle, 2001. "Crashes : symptoms, diagnoses and remedies," Papers cond-mat/0104127, arXiv.org, revised Apr 2001.
  37. Sandrine Jacob Leal & Mauro Napoletano, 2017. "Market Stability vs. Market Resilience: Regulatory Policies Experiments in an Agent-Based Model with Low- and High-Frequency Trading," Post-Print hal-01768876, HAL.
  38. Brugler, James & Linton, Oliver & Noss, Joseph & Pedace, Lucas, 2018. "The cross-sectional spillovers of single stock circuit breakers," Bank of England working papers 759, Bank of England.
  39. James Ang & Carol Boyer, 2009. "Has the 1987 crash changed the psyche of the stock market?," Review of Accounting and Finance, Emerald Group Publishing Limited, vol. 8(2), pages 138-154, May.
  40. Syed Basher & M. Kabir Hassan & Anisul Islam, 2007. "Time-varying volatility and equity returns in Bangladesh stock market," Applied Financial Economics, Taylor & Francis Journals, vol. 17(17), pages 1393-1407.
  41. repec:hal:spmain:info:hdl:2441/6ummnc8nko827b2luohnctekk7 is not listed on IDEAS
  42. Sarah Draus & Mark van Achter, 2012. "Circuit Breakers and Market Runs," CSEF Working Papers 313, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy.
  43. 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.
  44. Chakrapani Chaturvedula & Nikhil Rastogi, 2018. "The Effectiveness of Price Bands on Emerging Markets: Evidence from India," Accounting and Finance Research, Sciedu Press, vol. 7(4), pages 195-195, November.
IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.