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Author: Sue-Fung Wang
Publisher:
ISBN:
Category : Securities
Languages : en
Pages : 105
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Book Description
Author: Sue-Fung Wang
Publisher:
ISBN:
Category : Securities
Languages : en
Pages : 105
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Book Description
Author: Yongzhong Zhu
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Book Description
Author: Recep Bildik
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Book Description
In spite of the strong existence of price limits in financial markets, there is not much agreement and information on the effects of price limits on volatility and price discovery, which has important policy implications for the investors and regulators. This study examines the effects of price limits on stock return volatility by testing the overreaction and information hypotheses for the Istanbul Stock Exchange. We implement structural break tests as well as compherensive GARCH framework to estimate the impact of price limits on volatility, controlling for structural breaks, financial and economic crises, trading activity, and business cycle fluctuations. Our results do not support the information hypothesis. The fundamental conclusion of this paper is that the two-hour break between the two daily sessions reduces volatility by acting as a circuit breaker, which facilitates the dissemination of valuable information, thus preventing severe overreactions to news events, which are consistent with the overreaction hypothesis.
Author: Franklin R. Edwards
Publisher: Springer Science & Business Media
ISBN: 9400921934
Category : Business & Economics
Languages : en
Pages : 201
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Book Description
Author: Michael Joseph Brennan
Publisher:
ISBN:
Category : Commodity exchanges
Languages : en
Pages : 52
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Author: Ting Chen (Researcher in political economy and development economics)
Publisher:
ISBN:
Category :
Languages : en
Pages : 0
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Book Description
We use account-level data from the Shenzhen Stock Exchange to show that daily price limits, a widely adopted market stabilization mechanism, may lead to unintended, destructive market behavior: large investors tend to buy on the day when a stock hits the 10% upper price limit and then sell on the next day; and their net buying on the limit-hitting day predicts stronger long-run price reversal. We also analyze a sample of special treatment (ST) stocks, which face tighter 5% daily price limits, and provide a causal validation from comparing market dynamics before and after they are assigned the ST status.
Author: United States. Working Group on Financial Markets
Publisher:
ISBN:
Category : Financial futures
Languages : en
Pages : 128
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Author: Theodoros G. Stamatiou
Publisher:
ISBN:
Category :
Languages : en
Pages : 24
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Book Description
Price limits are automated mechanisms that pre-specify the maximum daily percentage range - upwards and downwards - in which security prices are allowed to move within a single day. I examine if the price limits /-8% of the Athens Stock Exchange (ASE) for the bubble period 1998-2001 had an effect on volatility, liquidity and abnormal returns. I test three conjectures. The first is that price limits cause a decrease in - close to close or close to open - volatility the day(s) following a price limit hit against the alternative. The second is that price limits cause an increase in liquidity the day(s) following a price limit hit against the alternative. The third is that price limits cause market overreaction the day(s) following a price limit hit against the alternative. I use daily data for the period 01/06/1998 - 31/05/2001. The open to close volatility and the liquidity hypothesis are new to the price limits literature. My results are against price limits. I reject both volatility and liquidity conjectures while the overreaction is not rejected for the Up limits.
Author: Haitham Nobanee
Publisher:
ISBN:
Category :
Languages : en
Pages : 18
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Book Description
Many stock exchanges around the world enforce daily price limits on the amount asset prices can change to prevent the market from overreacting and to reduce volatility. Using a methodology of comparing volatility based on the Extreme-Value technique, we empirically investigate the impact of price limits on the volatility of the Stock Exchange of Thailand. Our empirical results support price limits advocates suggesting that price limits moderate stock price volatility.
Author: Jean-Paul Chavas
Publisher: University of Chicago Press
ISBN: 022612892X
Category : Business & Economics
Languages : en
Pages : 394
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Book Description
"The conference was organized by the three editors of this book and took place on August 15-16, 2012 in Seattle."--Preface.
