create a website

Circuit breakers as market stability levers: A survey of research, praxis, and challenges. (2019). Sifat, Imtiaz Mohammad ; Mohamad, Azhar.
In: International Journal of Finance & Economics.
RePEc:wly:ijfiec:v:24:y:2019:i:3:p:1130-1169.

Full description at Econpapers || Download paper

Cited: 7

Citations received by this document

Cites: 195

References cited by this document

Cocites: 25

Documents which have cited the same bibliography

Coauthors: 0

Authors who have wrote about the same topic

Citations

Citations received by this document

  1. Microstructure of the Chinese stock market: A historical review. (2024). Xiong, Kainan ; Peng, Zhe ; Yang, Yahui.
    In: Pacific-Basin Finance Journal.
    RePEc:eee:pacfin:v:88:y:2024:i:c:s0927538x24003032.

    Full description at Econpapers || Download paper

  2. Manipulation of the Bitcoin market: an agent-based study. (2022). Engers, Tom ; Klous, Sander ; Fratri, Peter ; Sileno, Giovanni.
    In: Financial Innovation.
    RePEc:spr:fininn:v:8:y:2022:i:1:d:10.1186_s40854-022-00364-3.

    Full description at Econpapers || Download paper

  3. Fault Diagnosis Algorithm of Transformer and Circuit Breaker in Traction Power Supply System Based on IoT. (2022). Zhang, Zhongli ; Wu, Zhensheng ; Xue, Zhao ; Wang, Wenlin ; Xing, Ting.
    In: Energies.
    RePEc:gam:jeners:v:15:y:2022:i:23:p:8812-:d:980818.

    Full description at Econpapers || Download paper

  4. Passive investors and concentration of intraday liquidity: Evidence from the Tokyo Stock Exchange. (2022). Kitajima, Kiichi.
    In: Pacific-Basin Finance Journal.
    RePEc:eee:pacfin:v:74:y:2022:i:c:s0927538x2200107x.

    Full description at Econpapers || Download paper

  5. Effectiveness of the conditional random‐end trading mechanism on the Korea Exchange: Normal trade and Option Shock. (2021). Kwon, Kyung Y ; Eom, Kyong S ; Park, Jongho.
    In: Journal of Futures Markets.
    RePEc:wly:jfutmk:v:41:y:2021:i:10:p:1545-1568.

    Full description at Econpapers || Download paper

  6. Heterogeneous speculators and stock market dynamics: A simple agent-based computational model. (2020). Westerhoff, Frank ; Schmitt, Noemi ; Schwartz, Ivonne.
    In: BERG Working Paper Series.
    RePEc:zbw:bamber:160.

    Full description at Econpapers || Download paper

  7. A survey on the magnet effect of circuit breakers in financial markets. (2020). Sifat, Imtiaz Mohammad ; Mohamad, Azhar.
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:69:y:2020:i:c:p:138-151.

    Full description at Econpapers || Download paper

References

References cited by this document

    References contributed by pfo235-29308

  1. Abad, D., & Pascual, R. ( 2007). On the magnet effect of price limits. European Financial Management, 13( 5), 833– 852.

  2. Abad, D., & Pascual, R. ( 2013). Holding back volatility: Circuit breakers, price limits, and trading halts. In Market microstructure in emerging and developed markets (pp. 303– 324). Hoboken, NJ, USA: John Wiley & Sons, Inc.
    Paper not yet in RePEc: Add citation now
  3. Abad, D., Massot, M., & Pascual, R. ( 2017). Evaluating VPIN as a trigger for single‐stock circuit breakers. Journal of Banking & Finance. Abad, D., & Pascual, R. ( 2007). On the magnet effect of price limits. European Financial Management, 13( 5), 833– 852.
    Paper not yet in RePEc: Add citation now
  4. Ackert, L. F., Church, B., & Jayaraman, N. ( 2001). An experimental study of circuit breakers: The effects of mandated market closures and temporary halts on market behavior. Journal of Financial Markets, 4( 2), 185– 208.

  5. Aktas, O. U. ( 2016). Three essays on the microstructure of the BIST. Montréal, Québec, Canada: Concordia University.
    Paper not yet in RePEc: Add citation now
  6. Amihud, Y., Mendelson, H., & Lauterbach, B. ( 1997). Market microstructure and securities values: Evidence from the Tel Aviv Stock Exchange. Journal of Financial Economics, 45( 3), 365– 390.

  7. Anolli, M., & Petrella, G. ( 2007). A two‐stage non discretionary trading suspension mechanism: Effects on market quality (MRPA Paper No. 7931). University Library of Munich.

  8. Anshuman, V. R., & Subrahmanyam, A. ( 1999). Price limits, information acquisition, and bid–ask spreads: Theory and evidence. Economic Notes, 28( 1), 91– 118.

  9. Apergis, N. ( 2014). The role of circuit breakers in the oil futures market. Journal of Economics and Finance, 1– 16.
    Paper not yet in RePEc: Add citation now
  10. Aradhyula, S. V., & Ergün, A. T. ( 2004). Trading collar, intraday periodicity and stock market volatility. Applied Financial Economics, 14( 13), 909– 913.

  11. Arak, M., & Cook, R. E. ( 1997). Do daily price limits act as magnets? The case of treasury bond futures. Journal of Financial Services Research, 12( 1), 5– 20.

  12. Baron, M., Brogaard, J., & Kirilenko, A. A. ( 2014). Risk and return in high frequency trading. SSRN Electronic Journal.
    Paper not yet in RePEc: Add citation now
  13. Basher, S. A., Hassan, M. K., & Islam, A. M. ( 2007). Time‐varying volatility and equity returns in Bangladesh stock market. Applied Financial Economics, 17( 17), 1393– 1407.

  14. Berkman, H., & Lee, J. B. T. ( 2002). The effectiveness of price limits in an emerging market: Evidence from the Korean Stock Exchange. Pacific‐Basin Finance Journal, 10( 5), 517– 530.

  15. Berkman, H., & Steenbeek, O. W. ( 1998). The Influence of Daily Price Limits on Trading in Nikkei Futures. Journal of Futures Markets, 18( 3), 265– 279.

  16. Bethel, E. W., Leinweber, D., Ruebel, O., & Wu, K. ( 2011, September 16). Federal market information technology in the post flash crash era: Roles for supercomputing. Retrieved from https://www.osti.gov/scitech/biblio/1055697.
    Paper not yet in RePEc: Add citation now
  17. Biais, B., & Woolley, P. ( 2011). High frequency trading. Manuscript, Toulouse University, IDEI, (March), 19. Retrieved from http://idei.fr/doc/conf/pwri/biais_pwri_0311.pdf.
    Paper not yet in RePEc: Add citation now
  18. Bildik, R., & Gulay, G. ( 2006). Are price limits effective? Evidence from the Istanbul Stock Exchange. Journal of Financial Research, 29( 3), 383– 403.

  19. Black, F. ( 1986). Noise. The Journal of Finance, 41( 3), 528– 543.
    Paper not yet in RePEc: Add citation now
  20. Brennan, M. J. ( 1986). A theory of price limits in futures markets. Journal of Financial Economics, 16( 2), 213– 233.

  21. Brogaard, J. A. ( 2011). High frequency trading and volatility. Social Science Research Network, 45. https://doi-org.ezproxy.lib.uts.edu.au/10.2139/ssrn.1641387.
    Paper not yet in RePEc: Add citation now
  22. Brogaard, J., & Roshak, K. ( 2015). Prices and price limits. SSRN Electronic Journal.
    Paper not yet in RePEc: Add citation now
  23. Brogaard, J., & Roshak, K. ( 2016). Prices and Price Limits (August 1, 2016). Available at SSRN: https://ssrn.com/abstract=2667104 or https://doi-org.ezproxy.lib.uts.edu.au/10.2139/ssrn.2667104.
    Paper not yet in RePEc: Add citation now
  24. Brogaard, J., & Roshak, K. Prices and Price Limits (August 1, 2016). Available at SSRN: https://ssrn.com/abstract=2667104 or https://dx-doi-org.ezproxy.lib.uts.edu.au/10.2139/ssrn.2667104 http://dx.doi.org.ezproxy.lib.uts.edu.au/10.2139/ssrn.2667104.
    Paper not yet in RePEc: Add citation now
  25. Brugler, J., & Linton, O. ( 2014). Circuit Breakers on the London Stock Exchange: Do they improve subsequent market quality?. Faculty of Economics, University of Cambridge.

  26. Brugler, J., & Linton, O. B. ( 2014). Circuit breakers on the London Stock Exchange: Do they improve subsequent market quality? (CWPE;1453). https://doi-org.ezproxy.lib.uts.edu.au/10.17863/CAM.5673.

  27. Castro, C., Agudelo, D., & Preciado, S. ( 2017). Measuring the effectiveness of volatility call auctions. DOCUMENTOS DE TRABAJO. Retrieved from https://ideas.repec.org/p/col/000092/015498.html.

  28. Chakrabarti, G. ( 2011). Financial crisis and the changing nature of volatility contagion in the Asia‐Pacific region. Journal of Asset Management, 12( 3), 172– 184.

  29. Chakrabarty, B., Pascual, R., & Shkilko, A. ( 2015). Evaluating trade classification algorithms: Bulk volume classification versus the tick rule and the Lee‐Ready algorithm. Journal of Financial Markets, 25, 52– 79.

  30. Chan, S. H., Kim, K. A., & Rhee, S. G. ( 2005). Price limit performance: Evidence from transactions data and the limit order book. Journal of Empirical Finance, 12( 2), 269– 290.

  31. Chan, Y. C. ( 2005). Price Movement Effects on the State of the Electronic Limit‐Order Book. Financial Review, 40( 2), 195– 221.

  32. Chang, C.‐H., & Hsieh, S.‐L. ( 2008). Is the daily price limit of the Taiwan Stock Exchange effective? Fundamentals of listed stocks and investors' perception of fair price. Asia‐Pacific Journal of Financial Studies, 37( 4), 675– 726.
    Paper not yet in RePEc: Add citation now
  33. Charoenwong, C., Chiyachantana, C. N., & Taechapiroontong, N. ( 2010). The effectiveness of trading halts and investor trading performance: An intraday analysis on the stock exchange of Thailand. In Asian Finance Conference (pp. 1– 47). Hong Kong.
    Paper not yet in RePEc: Add citation now
  34. Chen, C., & Jeng, J.‐L. ( 1996). The impact of price limits on foreign currency futures' price volatility and market efficiency. Global Finance Journal, 7( 1), 13– 25.

  35. Chen, C.‐Y., Chou, J.‐H., Fung, H.‐G., & Tse, Y. ( 2017). Setting the futures margin with price limits: The case for single‐stock futures. Review of Quantitative Finance and Accounting, 48( 1), 219– 237.
    Paper not yet in RePEc: Add citation now
  36. Chen, G., Rui, O. M., & Wang, S. S. ( 2005a). The effectiveness of price limits and stock characteristics: Evidence from the Shanghai and Shenzhen stock exchanges. Review of Quantitative Finance and Accounting, 25( 2), 159– 182.
    Paper not yet in RePEc: Add citation now
  37. Chen, G.‐M., Kim, K. A., & Rui, O. M. ( 2005b). A note on price limit performance: The case of illiquid stocks. Pacific‐Basin Finance Journal, 13( 1), 81– 92.
    Paper not yet in RePEc: Add citation now
  38. Chen, H. ( 1998). Price limits, overreaction, and price resolution in futures markets. Journal of Futures Markets, 18( 3), 243– 263.

  39. Chen, H., Chen, H., & Valerio, N. ( 2003). The effects of trading halts on price discovery for NYSE stocks. Applied Economics, 35( 1), 91– 97.

  40. Chen, Y.‐M. ( 1993). Price limits and stock market volatility in Taiwan. Pacific‐Basin Finance Journal, 1( 2), 139– 153.

  41. Cheung, W. M., Chou, R. K., & Lei, A. C. H. ( 2015). Exchange‐traded barrier option and VPIN: Evidence from Hong Kong. Journal of Futures Markets, 35( 6), 561– 581.

  42. Cho, D. D., Russell, J., Tiao, G. C., & Tsay, R. ( 2003). The magnet effect of price limits: Evidence from high‐frequency data on Taiwan Stock Exchange. Journal of Empirical Finance, 10( 1), 133– 168.

  43. Chordia, T., Roll, R., & Subrahmanyam, A. ( 2002). Order imbalance, liquidity, and market returns. Journal of Financial Economics, 65( 1), 111– 130.

  44. Chou, P. H., Chou, R. K., Ko, K. C., & Chao, C. Y. ( 2013). What affects the cool‐off duration under price limits? Pacific Basin Finance Journal, 24, 256– 278.
    Paper not yet in RePEc: Add citation now
  45. Chou, P. H., Chou, R. K., Ko, K. C., & Chao, C. Y. ( 2013). What affects the cool‐off duration under price limits? Pacific‐Basin Finance Journal, 24, 256– 278.

  46. Chou, P.‐H. ( 1997). A Gibbs sampling approach to the estimation of linear regression models under daily price limits. Pacific‐Basin Finance Journal, 5( 1), 39– 62.

  47. Chou, P.‐H., Li, W.‐S., Lin, J.‐B., & Wang, J.‐S. ( 2006). Estimating the VaR of a portfolio subject to price limits and nonsynchronous trading. International Review of Financial Analysis, 15( 4–5), 363– 376.

  48. Chou, P.‐H., Lin, M.‐C., & Yu, M.‐T. ( 2003). The effectiveness of coordinating price limits across futures and spot markets. Journal of Futures Markets, 23( 6), 577– 602.

  49. Chowdhry, B., & Nanda, V. ( 1998). Leverage and market stability: The role of margin rules and price limits. The Journal of Business, 71( 2), 179– 210.

  50. Christie, W. G., Corwin, S. A., & Harris, J. H. ( 2002). Nasdaq trading halts: The impact of market mechanisms on prices, trading activity, and execution costs. Journal of Finance, 57( 3), 1443– 1478.

  51. Chu, H.‐H., Ko, K.‐C., Lee, S.‐W., & Yang, N.‐T. ( 2017). Continuing overreaction and momentum in a market with price limits. In EFMA annual meeting (pp. 1– 41). Athens: European Financial Management Association.
    Paper not yet in RePEc: Add citation now
  52. Chung, J.‐R. ( 1991). Price limit system and volatility of Korean stock market. Pacific Basin Capital Market Research, 2, 283– 294.
    Paper not yet in RePEc: Add citation now
  53. Clapham, B., & Zimmermann, K. ( 2016). Price discovery and convergence in fragmented securities markets. International Journal of Managerial Finance, 12( 4), 381– 407.

  54. Clapham, B., Gomber, P., & Panz, S. ( 2017). Coordination of circuit breakers? Volume Migration and Volatility Spillover in Fragmented Markets. SSRN. https://doi-org.ezproxy.lib.uts.edu.au/10.2139/ssrn.2906719.

  55. Clapham, B., Gomber, P., Haferkorn, M., & Panz, S. ( 2017). Managing Excess Volatility: Design and Effectiveness of Circuit Breakers. SSRN. https://dx-doi-org.ezproxy.lib.uts.edu.au/10.2139/ssrn.2910977.

  56. Copeland, T. E., & Galai, D. ( 1983). Information effects on the bid‐ask spread. Journal of Finance, 38( 5), 1457– 1469.

  57. Corwin, S. A., & Lipson, M. L. ( 2000). Order flow and liquidity around NYSE trading halts. Journal of Finance, 55( 4), 1771– 1801.

  58. Coursey, D., & Dyl, E. ( 1990). Price limits, trading suspensions, and the adjustment of prices to new information. Review of Futures Markets, 9( 2), 342– 360.
    Paper not yet in RePEc: Add citation now
  59. Cui, B., & Gozluklu, A. E. ( 2016). Intraday rallies and crashes: Spillovers of trading halts. International Journal of Finance & Economics, 21( 4), 472– 501.

  60. Curran, E., & Mollica, V. ( 2018). Magnet Effects of Price Limits: Evidence from a Market Liberalization Experiment (January 31, 2018). Available at SSRN: https://ssrn.com/abstract=3115844 or https://doi-org.ezproxy.lib.uts.edu.au/10.2139/ssrn.3115844.
    Paper not yet in RePEc: Add citation now
  61. Curran, Edward and Mollica, Vito, Magnet Effects of Price Limits: Evidence from a Market Liberalization Experiment (January 31, 2018). Available at SSRN: https://ssrn.com/abstract=3115844 or https://doi-org.ezproxy.lib.uts.edu.au/10.2139/ssrn.3115844.
    Paper not yet in RePEc: Add citation now
  62. Dabbou, H. ( 2013). Evaluating the widening of price limits: Evidence from Tunisian stock exchange. Journal of Business Studies Quarterly, 4( 3), 140– 159.
    Paper not yet in RePEc: Add citation now
  63. Damoori, D., & Zarei, M. ( 2013). The study of the impact of relative performance of trading halts on trading activity (the case of the Tehran Stock Exchange). International Research Journal of Applied and Basic Sciences, 6( 1), 124– 127.
    Paper not yet in RePEc: Add citation now
  64. Danışoğlu, S., & Güner, Z. N. ( 2016). Do price limits help control stock price volatility? Annals of Operations Research, 260, 1– 29.
    Paper not yet in RePEc: Add citation now
  65. Deb, S. S., Kalev, P. S., & Marisetty, V. B. ( 2013). Flexible price limits: The case of Tokyo Stock Exchange. Journal of International Financial Markets, Institutions and Money, 24, 66– 84.

  66. Deb, S. S., Kalev, P. S., & Marisetty, V. B. ( 2016). Price limits and volatility. Pacific‐Basin Finance Journal, 45, 142– 156.
    Paper not yet in RePEc: Add citation now
  67. Diacogiannis, G. P., Patsalis, N., Tsangarakis, N. V., & Tsiritakis, E. D. ( 2005). Price limits and overreaction in the Athens stock exchange. Applied Financial Economics, 15( 1), 53– 61.

  68. Draus, S., & Van Achter, M. ( 2012). Circuit Breakers and Market Runs. SSRN Electronic Journal. https://doi-org.ezproxy.lib.uts.edu.au/10.2139/ssrn.2081962.

  69. Du, D., Liu, Q., & Rhee, S. G. ( 2009). An analysis of the magnet effect under price limits. International Review of Finance, 9( 1–2), 83– 110.

  70. Easley, D., López de Prado, M. M., & O'Hara, M. ( 2014). VPIN and the flash crash: A rejoinder. Journal of Financial Markets, 17, 47– 52.

  71. Edelen, R., & Gervais, S. ( 2003). The role of trading halts in monitoring a specialist market. Review of Financial Studies, 16( 1), 263– 300.

  72. Ehrenstein, G., & Westerhoff, F. ( 2006). The working of circuit breakers within percolation models for financial markets. International Journal of Modern Physics C, 17( 2), 299– 304.

  73. Engelen, P.‐J., & Kabir, R. ( 2006). Empirical evidence on the role of trading suspensions in disseminating new information to the capital market. Journal of Business Finance, 33( 7–8), 1142– 1167.

  74. Errais, E., & Bahri, D. ( 2016). Is standard deviation a good measure of volatility? The case of African markets with price limits. Annals of Economics and Finance, 17( 1), 145– 165.

  75. Evans, J., & Mahoney, J. M. ( 1997). The effects of price limits on trading volume: a study of the cotton futures market. Current Issues in Economics and Finance, 3( Jan).

  76. Fabozzi, F. J., & Ma, C. K. ( 1988). The over‐the‐counter market and New York stock exchange trading halts. The Financial Review, 23( 4), 427– 437.

  77. Fama, E. ( 1989). Perspectives on October 1987, or, what did we learn from the crash? Issue 232 of working paper series (University of Chicago. Center for Research in Security Prices). Chicago.
    Paper not yet in RePEc: Add citation now
  78. Farag, H. ( 2013). Price limit bands, asymmetric volatility and stock market anomalies: Evidence from emerging markets. Global Finance Journal, 24( 1), 85– 97.

  79. Feng, L. ( 2002). The effects of re‐imposing a 10% price limit on the Chinese Stock Markets. Asia Pacific Journal of Economics & Business, 3( 1), 1– 32.
    Paper not yet in RePEc: Add citation now
  80. Fernandes, M., & Rocha, A. D. S. ( 2006). Are price limits on futures markets that cool? Evidence from the Brazilian Mercantile and Futures Exchange. Journal of Financial Econometrics, 5( 2), 219– 242.

  81. Ferris, S. P., Kumar, R., & Wolfe, G. A. ( 1992). The effect of SEC‐ordered suspensions on returns, volatility, and trading volume. The Financial Review, 27( 1), 1– 34.

  82. Fong, W.‐M. ( 1996). New York Stock Exchange trading halts and volatility. International Review of Economics & Finance, 5( 3), 243– 257.

  83. Frino, A., Lecce, S., & Segara, R. ( 2011). The impact of trading halts on liquidity and price volatility: Evidence from the Australian Stock Exchange. Pacific‐Basin Finance Journal, 19( 3), 298– 307.

  84. Gerety, M. S., & Mulherin, J. H. ( 1992). Trading halts and market activity: An analysis of volume at the open and the close. The Journal of Finance, 47( 5), 1765– 1784.

  85. Glosten, L. R., & Milgrom, P. R. ( 1985). Bid, ask and transaction prices in a specialist market with heterogeneously informed traders. Journal of Financial Economics, 14( 1), 71– 100.

  86. Goldstein, M. A. ( 2015). Circuit breakers, trading collars, and volatility transmission across markets: Evidence from NYSE Rule 80A. Financial Review, 50( 3), 459– 479.

  87. Goldstein, M. A., & Kavajecz, K. A. ( 2004). Trading strategies during circuit breakers and extreme market movements. Journal of Financial Markets, 7( 3), 301– 333.

  88. Gomber, P., Clapham, B., Haferkorn, M., Panz, S., & Jentsch, P. ( 2017). Ensuring market integrity and stability: Circuit breakers on international trading venues. The Journal of Trading, 12( 1), 42– 54.
    Paper not yet in RePEc: Add citation now
  89. Gomber, P., Haferkorn, M., Lutat, M., & Zimmermann, K. ( 2013). The effect of single‐stock circuit breakers on the quality of fragmented markets (pp. 71– 87).
    Paper not yet in RePEc: Add citation now
  90. Greenwald, B. C., & Stein, J. C. ( 1991). Transactional risk, market crashes, and the role of circuit breakers. The Journal of Business, 64( 4), 443– 462.

  91. Greenwald, B., & Stein, J. ( 1988). The task force report: The reasoning behind the recommendations. Journal of Economic Perspectives, 2( 3), 3– 23.

  92. Guo, J. H., Chang, L. F., & Hung, M. W. ( 2017). Limit hits and informationally‐related stocks. Journal of Financial Markets, 34, 31– 47.
    Paper not yet in RePEc: Add citation now
  93. Guo, J.‐H., Chang, L.‐F., & Hung, M.‐W. ( 2017). Limit hits and informationally‐related stocks. Journal of Financial Markets, 34, 31– 47.
    Paper not yet in RePEc: Add citation now
  94. Guo, X., Liang, Z., & Fang, Y. ( 2010). Does price limit affect the autocorrelation of stock return series? A Monte Carlo experiment. In 2010 Third International Conference on Business Intelligence and Financial Engineering (pp. 399– 402). IEEE. 10.1109/BIFE.2010.98.
    Paper not yet in RePEc: Add citation now
  95. Gwilym, R., & Ebrahim, M. S. ( 2013). Can position limits restrain ‘rogue'trading? Journal of Banking & Finance, 37( 3), 824– 836.

  96. Hall, A. D., & Kofman, P. ( 2001). Limits to linear price behavior: Futures prices regulated by limits. Journal of Futures Markets, 21( 5), 463– 488.

  97. Harel, A., & Harpaz, G. ( 2006). Security markets with price limits: A Bayesian approach. International Journal of Theoretical and Applied Finance, 9( 3), 359– 372.

  98. Harris, L. ( 1997). Circuit breakers and program trading limits: What have we learned? Forthcoming, Brookings‐Wharton Papers on Financial Services. Retrieved from http://lharris.usc.edu/.

  99. Hauser, S., Kedar‐Levy, H., Pilo, B., & Shurki, I. ( 2006). The effect of trading halts on the speed of price discovery. Journal of Financial Services Research, 29( 1), 83– 99.

  100. Henke, H., & Voronkova, S. ( 2005). Price limits on a call auction market: Evidence from the Warsaw Stock Exchange. International Review of Economics and Finance, 14( 4), 439– 453.

  101. Holder, M. E., Ma, C. K., & Mallett, J. E. ( 2002). Futures price limit moves as options. Journal of Futures Markets, 22( 9), 901– 913.

  102. Hong, Y., Tu, J., & Zhou, G. ( 2007). Asymmetries in stock returns: Statistical tests and economic evaluation. Review of Financial Studies, 20( 5), 1547– 1581.
    Paper not yet in RePEc: Add citation now
  103. Hsieh, P.‐H., Kim, Y. H., & Yang, J. J. ( 2009). The magnet effect of price limits: A logit approach. Journal of Empirical Finance, 16( 5), 830– 837.

  104. Huang, Y. S., Fu, T. W., & Ke, M. C. ( 2001). Daily price limits and stock price behavior: Evidence from the Taiwan stock exchange. International Review of Economics & Finance, 10( 3), 263– 288.

  105. Kabir, R. ( 1994). Share price behaviour around trading suspensions on the London Stock Exchange. Applied Financial Economics, 4( 4), 289– 295.
    Paper not yet in RePEc: Add citation now
  106. Kao, G. W., & Ma, C. K. ( 1992). Memories, heteroscedasticity, and price limit in currency futures markets. Journal of Futures Markets, 12( 6), 679– 692.

  107. Kim, K. A. ( 2001). Price limits and stock market volatility. Economics Letters, 71( 1), 131– 136.
    Paper not yet in RePEc: Add citation now
  108. Kim, K. A. ( 2001). Price limits and stock market volatility. Economics Letters, 71( 1), 131– 136.

  109. Kim, K. A., & Limpaphayom, P. ( 2000). Characteristics of stocks that frequently hit price limits: Empirical evidence from Taiwan and Thailand. Journal of Financial Markets, 3( 3), 315– 332.

  110. Kim, K. A., & Park, J. ( 2010). Why do price limits exist in stock markets? A manipulation‐based explanation. European Financial Management, 16( 2), 296– 318.

  111. Kim, K. A., & Rhee, S. G. ( 1997). Price limit performance: Evidence from the Tokyo Stock Exchange. The Journal of Finance, 52( 2), 885– 901.

  112. Kim, K. A., & Sweeney, R. J. ( 2002). Effects of price limits on information revelation: Theory and empirical evidence (Georgetown University Working Paper).
    Paper not yet in RePEc: Add citation now
  113. Kim, K. A., Liu, H., & Yang, J. J. ( 2013). Reconsidering price limit effectiveness. Journal of Financial Research, 36( 4), 493– 518.

  114. Kim, Y. H., & Yang, J. J. ( 2004). What makes circuit breakers attractive to financial markets? A survey. Financial Markets, Institutions and Instruments, 13( 3), 109– 146.
    Paper not yet in RePEc: Add citation now
  115. Kim, Y. H., & Yang, J. J. ( 2008). The effect of price limits on intraday volatility and information asymmetry. Pacific‐Basin Finance Journal, 16( 5), 522– 538.

  116. Kim, Y. H., & Yang, J. J. ( 2009). Effect of price limits: Initial public offerings versus seasoned equities. International Review of Finance, 9( 3), 295– 318.

  117. Kim, Y. H., Yagüe, J., & Yang, J. J. ( 2008). Relative performance of trading halts and price limits: Evidence from the Spanish Stock Exchange. International Review of Economics & Finance, 17( 2), 197– 215.

  118. Kim, Y. H., Yagüe, J., & Yang, J. J. ( 2008). Relative performance of trading halts and price limits: Evidence from the Spanish Stock Exchange. International Review of Economics & Finance, 17( 2), 197– 215.
    Paper not yet in RePEc: Add citation now
  119. Kodres, L. E., & O'Brien, D. P. ( 1994). The existence of Pareto‐superior price limits. The American Economic Review, 84( 4), 919– 932.

  120. Kryzanowski, L., & Nemiroff, H. ( 1998). Price discovery around trading halts on the Montreal Exchange using trade‐by‐trade data. The Financial Review, 33( 2), 195– 212.

  121. Kryzanowski, L., & Nemiroff, H. ( 2001). Market quote and spread component cost behavior around trading halts for stocks interlisted on the Montreal and Toronto Stock Exchanges. The Financial Review, 36( 2), 115– 138.

  122. Kubota, K., & Takehara, H. ( 2015). Reform and price discovery at the Tokyo Stock Exchange ( 1st ed.). New York: Palgrave Macmillan US.
    Paper not yet in RePEc: Add citation now
  123. Kuhn, B. A., Kurserk, G. J., & Locke, P. ( 1991). Do circuit breakers moderate volatility? Evidence from October 1989. Review of Futures Markets, 10( 1), 426– 434.
    Paper not yet in RePEc: Add citation now
  124. Kyle, A. S. ( 1988). Trading halts and price limits. Review of Futures Markets, 7( 3), 426– 434.
    Paper not yet in RePEc: Add citation now
  125. Lauterbach, B., & Ben‐Zion, U. ( 1993). Stock market crashes and the performance of circuit breakers: Empirical evidence. The Journal of Finance, 48( 5), 1909.

  126. Lee, C. M. C., Ready, M. J., & Seguin, P. J. ( 1994). Volume, volatility, and New York Stock Exchange trading halts. The Journal of Finance, 49( 1), 183.

  127. Lee, J.‐H., & Chou, R. K. ( 2004). The intraday stock return characteristics surrounding price limit hits. Journal of Multinational Financial Management, 14( 4–5), 485– 501.

  128. Lee, S. B., & Kim, K. J. ( 1995). The effect of price limits on stock price volatility: Empirical evidence in Korea. Journal of Business Finance & Accounting, 22( 2), 257– 267.
    Paper not yet in RePEc: Add citation now
  129. Lee, S.‐B., & Kim, K.‐J. ( 1995). The effect of price limits on stock price volatility: Empirical evidence in Korea. Journal of Business Finance & Accounting, 22( 2), 257– 267.
    Paper not yet in RePEc: Add citation now
  130. Lee, W.‐B., Park, J. W., & Jordan, S. J. ( 2009). Trading halts and information asymmetry. SSRN Electronic Journal. https://doi-org.ezproxy.lib.uts.edu.au/10.2139/ssrn.1537367.
    Paper not yet in RePEc: Add citation now
  131. Lehmann, B. N. ( 1989). Commentary: Volatility, price resolution, and the effectiveness of price limits. In Regulatory reform of stock and futures markets (pp. 107– 111). Dordrecht: Springer Netherlands.

  132. Leinweber, D. ( 2017). Fintech Codgers look back 25 years. The Journal of Investing, 26( 1), 33– 45.
    Paper not yet in RePEc: Add citation now
  133. Li, X., Geng, Z., Subrahmanyam, A., & Yu, H. ( 2017). Do wealthy investors have an informational advantage? Evidence based on account classifications of individual investors. Journal of Empirical Finance, 44, 1– 18.

  134. Lim, K.‐P., & Brooks, R. D. ( 2009). Price limits and stock market efficiency: Evidence from rolling bicorrelation test statistic. Chaos, Solitons & Fractals, 40( 3), 1271– 1276.

  135. Lin, H. Y. ( 2013). Dynamic stock return‐volume relation: Evidence from emerging Asian Markets. Bulletin of Economic Research, 65( 2), 178– 193.

  136. Lin, M.‐C., & Chou, P.‐H. ( 2011). Prospect theory and the effectiveness of price limits. Pacific‐Basin Finance Journal, 19( 3), 330– 349.

  137. Lin, X. Y. ( 2015). Three essays on financial modelling with price limits. Waterloo, Ontario, Canada: University of Waterloo.
    Paper not yet in RePEc: Add citation now
  138. Lo, A. W., & MacKinlay, A. C. ( 1988). Stock market prices do not follow random walks: Evidence from a simple specification test. Review of Financial Studies, 1( 1), 41– 66.

  139. Ma, C. K., Rao, R. P., & Sears, R. S. ( 1989). Volatility, price resolution, and the effectiveness of price limits. In Regulatory reform of stock and futures markets (pp. 67– 101). Dordrecht: Springer Netherlands.

  140. Madhavan, A. ( 1992). Trading mechanisms in securities markets. The Journal of Finance, 47( 2), 607– 641.

  141. Madura, J., Richie, N., & Tucker, A. L. ( 2006). Trading halts and price discovery. Journal of Financial Services Research, 30( 3), 311– 328.

  142. Martens, M., & Steenbeek, O. W. ( 2001). Intraday trading halts in the Nikkei futures market. Pacific Basin Finance Journal, 9( 5), 535– 561.

  143. McDonald, C. G., & Michayluk, D. ( 2003). Suspicious trading halts. Journal of Multinational Financial Management, 13( 3), 251– 263.

  144. Miller, M. H. ( 1989). Commentary: Volatility, price resolution, and the effectiveness of price limits. In Regulatory reform of stock and futures markets (pp. 103– 105). Dordrecht: Springer Netherlands.
    Paper not yet in RePEc: Add citation now
  145. Morris, C. S. ( 1990). Coordination circuit breakers in stock and futures markets. FRB Kansas City Economic Review, 75( 2), 35– 48.

  146. Moser, J. T. ( 1990). Circuit breakers. FRB Chicago ‐ Economic Perspectives, 14( 5), 2– 13.

  147. Nath, P. ( 2003). Do price limits behave like magnets? SSRN Electronic Journal. https://doi-org.ezproxy.lib.uts.edu.au/10.2139/ssrn.565482.
    Paper not yet in RePEc: Add citation now
  148. Nobanee, H., & Al‐Hilu, K. ( 2013). An extreme value approach to test the effect of price limits on volatility. SSRN Electronic Journal. https://doi-org.ezproxy.lib.uts.edu.au/10.2139/ssrn.2970022.
    Paper not yet in RePEc: Add citation now
  149. O'Hara, M. ( 2015). High frequency market microstructure. Journal of Financial Economics, 116( 2), 257– 270.
    Paper not yet in RePEc: Add citation now
  150. Ohuche, F. K., & Ikoku, A. E. ( 2014). Financial management focus on price volatility and Circuit Breakers in the Nigerian equity market implications for monetary policy. Journal of Financial Management & Analysis, 27( 2), 1– 19.
    Paper not yet in RePEc: Add citation now
  151. Omar, H. F. ( 2012). Essays on price overreaction and price limits in emerging markets: the case of the Egyptian stock exchange (Doctoral dissertation, University of Birmingham).
    Paper not yet in RePEc: Add citation now
  152. Pöppe, T., Moos, S., & Schiereck, D. ( 2016). The sensitivity of VPIN to the choice of trade classification algorithm. Journal of Banking & Finance, 73, 165– 181.

  153. Park, C. W. ( 2000). Examining futures price changes and volatility on the trading day after a limit‐lock day. Journal of Futures Markets, 20( 5), 445– 466.

  154. Phuensane, P., & Williams, J. M. ( 2016, July 10). Order flow toxicity and informed trading around known market manipulation events: Evidence from interest rate futures. Retrieved from https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2807531.
    Paper not yet in RePEc: Add citation now
  155. Phylaktis, K., Kavussanos, M., & Manalis, G. ( 1999). Price limits and stock market volatility in the Athens Stock Exchange. European Financial Management, 5( 1), 69– 84.

  156. Polwitoon, S. ( 2011). The effect of price limits changes on return volatility: Evidence from the stock exchange of Thailand. International Business & Economics Research Journal, 3( 9), 1– 23.
    Paper not yet in RePEc: Add citation now
  157. Qiao, Z., Chiang, T. C., & Tan, L. ( 2014). Empirical investigation of the causal relationships among herding, stock market returns, and illiquidity: Evidence from major Asian markets. Review of Pacific Basin Financial Markets and Policies, 17( 3), 1450018.

  158. Reboredo, J. C. ( 2012). The switch from continuous to call auction trading in response to a large intraday price movement. Applied Economics, 44( 8), 945– 967.

  159. Reiffen, D., & Buyuksahin, B. ( 2010). The puzzle of privately‐imposed price limits: Are the limits imposed by financial exchanges effective? IEB International Journal of Business, 1( 1), 110– 143.

  160. Roll, R. ( 1989). Price volatility, international market links, and their implications for regulatory policies. Journal of Financial Services Research, 3( 2–3), 211– 246.

  161. Ryoo, H.‐J., & Smith, G. ( 2002). Korean stock prices under price limits: Variance ratio tests of random walks. Applied Financial Economics, 12( 8), 545– 553.

  162. Santoni, G. J., & Liu, T. ( 1993). Circuit breakers and stock market volatility. Journal of Futures Markets, 13( 3), 261– 277.

  163. Seasholes, M. S., & Wu, G. ( 2007). Predictable behavior, profits, and attention. Journal of Empirical Finance, 14( 5), 590– 610.

  164. Shen, C.‐H., & Wang, L.‐R. ( 1998). Daily serial correlation, trading volume and price limits: Evidence from the Taiwan stock market. Pacific‐Basin Finance Journal, 6( 3–4), 251– 273.

  165. Sifat, I. M., & Mohamad, A. ( 2018). Trading aggression when price limit hits are imminent: NARDL based intraday investigation of magnet effect. Journal of Behavioral and Experimental Finance.

  166. Slezak, S. L. ( 1994). A theory of the dynamics of security returns around market closures. The Journal of Finance, 49( 4), 1163– 1211.

  167. Spiegel, M., & Subrahmanyam, A. ( 2000). Asymmetric information and news disclosure rules. Journal of Financial Intermediation, 9( 4), 363– 403.

  168. Stamatiou, T. ( 2007). Price Limits, Volatility, Liquidity and Overreaction: An Event Study from the Athens Stock Exchange. In New Developments in Financial Modelling (Vol. 245, No. 275, pp. 245– 275. Cambridge Scholars Publishing in association with GSE Research.
    Paper not yet in RePEc: Add citation now
  169. Subrahmanyam, A. ( 1994). Circuit breakers and market volatility: A theoretical perspective. The Journal of Finance, 49( 1), 237– 254.

  170. Subrahmanyam, A. ( 1995). On rules versus discretion in procedures to halt trade. Journal of Economics and Business, 47( 1), 1– 16.

  171. Subrahmanyam, A. ( 1997). The ex ante effects of trade halting rules on informed trading strategies and market liquidity. Review of Financial Economics, 6( 1), 1– 14.

  172. Tan, R. S. K., & Yeo, W. Y. ( 2003). Voluntary trading suspensions in Singapore. Applied Financial Economics, 13( 7), 517– 523.

  173. Tao, J., Yingying, W., & Jingyi, Z. ( 2017). The performance of China's stock market price limits: Noise mitigator or noise maker? China Finance Review International, 7( 1), 85– 97.

  174. Telser, I. G. ( 1989). October 1987 and the structure of financial markets. In R. Kampuis, R. Kormendi, & J. Watson (Eds.), Black Monday and the future of financial markets. Homewood, IL: Irwin.
    Paper not yet in RePEc: Add citation now
  175. Thomadakis, S., Gounopoulos, D., Nounis, C., & Merikas, A. ( 2016). Collateral regulation and IPO‐specific liberalisation: The case of price limits in the Athens Stock Exchange. European Financial Management, 22( 2), 276– 312.

  176. Tooma, E. ( 2011). The Magnetic Attraction of Price Limits. International Journal of Business, 16( 1).
    Paper not yet in RePEc: Add citation now
  177. Veld‐Merkoulova, Y. V. ( 2003). Price limits in futures markets: Effects on the price discovery process and volatility. International Review of Financial Analysis, 12( 3), 311– 328.

  178. Wan, Y.‐L., Xie, W.‐J., Gu, G.‐F., Jiang, Z.‐Q., Chen, W., Xiong, X., … Zhou, W.‐X. ( 2015). Statistical properties and pre‐hit dynamics of price limit hits in the Chinese Stock Markets. PLoS One, 10( 4), e0120312.

  179. Wang, D., Chong, T. T.‐L., & Chan, W. H. ( 2014). Price limits and stock market volatility in China. Munich Personal RePEc Archive.

  180. Wang, M., Ding, Y., & Hsin, P. ( 2017). Order aggressiveness and the heating and cooling‐off effects of price limits (National Chung Cheng University Working Paper). Taipei. https://doi-org.ezproxy.lib.uts.edu.au/10.2139/ssrn.1243482.
    Paper not yet in RePEc: Add citation now
  181. Wei, K. C. J., & Chiang, R. ( 2004). A GMM approach for estimation of volatility and regression models when daily prices are subject to price limits. Pacific‐Basin Finance Journal, 12( 4), 445– 461.

  182. West, M. D. ( 2000). Private ordering at the world's first futures exchange. Michigan Law Review, 98( 8), 2574.
    Paper not yet in RePEc: Add citation now
  183. Westerhoff, F. ( 2003). Speculative markets and the effectiveness of price limits. Journal of Economic Dynamics and Control, 28( 3), 493– 508.

  184. Wong, K. M., Kong, X., & Li, M. ( 2016). The magnet effect of circuit breakers and its interactions with price limits. SSRN Electronic Journal.
    Paper not yet in RePEc: Add citation now
  185. Wong, W. K., Chang, M. C., & Tu, A. H. ( 2009a). Are magnet effects caused by uninformed traders? Evidence from Taiwan Stock Exchange. Pacific‐Basin Finance Journal, 17( 1), 28– 40.

  186. Wong, W. K., Liu, B., & Zeng, Y. ( 2009b). Can price limits help when the price is falling? Evidence from transactions data on the Shanghai Stock Exchange. China Economic Review, 20( 1), 91– 102.

  187. Wu, L. ( 1998). Market reactions to the Hong Kong trading suspensions: Mandatory versus voluntary. Journal of Business Finance and Accounting, 25( 3–4), 419– 437.

  188. Wu, L. ( 2000). Market reactions to the Hong Kong trading suspensions: Mandatory versus voluntary. Journal of Business Finance & Accounting, 25( 3–4), 419– 437.
    Paper not yet in RePEc: Add citation now
  189. Xiong, X., Nan, D., Yang, Y., & Yongjie, Z. ( 2015). Study on market stability and price limit of Chinese Stock Index futures market: An agent‐based modeling perspective. PLoS One, 10( 11), e0141605.

  190. Xu, H.‐C., Zhang, W., & Liu, Y.‐F. ( 2014). Short‐term market reaction after trading halts in Chinese stock market. Physica a: Statistical Mechanics and its Applications, 401, 103– 111.

  191. Yang, J., Kolari, J. W., & Min, I. ( 2003). Stock market integration and financial crises: The case of Asia. Applied Financial Economics, 13( 7), 477– 486.

  192. Ye, C. ( 2016). The effects of price limits on AB‐shares on the Shanghai and Shenzhen stock exchanges. The University of Sheffield.
    Paper not yet in RePEc: Add citation now
  193. Yeh, C.‐H., & Yang, C.‐Y. ( 2010). Examining the effectiveness of price limits in an artificial stock market. Journal of Economic Dynamics and Control, 34( 10), 2089– 2108.

  194. Zhang, X., Ping, J., Zhu, T., Li, Y., & Xiong, X. ( 2016). Are price limits effective? An examination of an Artificial Stock Market. PLoS One, 11( 8), e0160406.

  195. Zimmerman, K. ( 2014). Price discovery in European Volatility Interruptions. In EFMA Annual Meeting (pp. 1– 30). Rome.
    Paper not yet in RePEc: Add citation now

Cocites

Documents in RePEc which have cited the same bibliography

  1. Price limits, informed trading, and information consumption. (2024). Luo, Yan ; Yang, Hao ; Ren, Haohan.
    In: Research in International Business and Finance.
    RePEc:eee:riibaf:v:71:y:2024:i:c:s0275531924002095.

    Full description at Econpapers || Download paper

  2. Magnet effects of circuit breakers in electronic order‐driven markets: Evidence from China. (2023). Lu, Jing ; Xiang, Cheng.
    In: International Journal of Finance & Economics.
    RePEc:wly:ijfiec:v:28:y:2023:i:2:p:1450-1469.

    Full description at Econpapers || Download paper

  3. Effectiveness of price limits: Evidence from China’s ChiNext market. (2023). Qi, Bao.
    In: PLOS ONE.
    RePEc:plo:pone00:0287548.

    Full description at Econpapers || Download paper

  4. Price limit change and magnet effect: The role of investor attention. (2023). Li, Xinxian ; Zhang, Xiaotao ; Hao, Jing.
    In: Finance Research Letters.
    RePEc:eee:finlet:v:53:y:2023:i:c:s154461232200753x.

    Full description at Econpapers || Download paper

  5. Herding and Chinas market-wide circuit breaker. (2022). Suardi, Sandy ; Wang, Xinru ; Kim, Maria H.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:141:y:2022:i:c:s0378426622001273.

    Full description at Econpapers || Download paper

  6. Intraday return predictability in China’s crude oil futures market: New evidence from a unique trading mechanism. (2021). Zhang, Yaojie ; Wang, Yudong ; Wen, Danyan.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:96:y:2021:i:c:p:209-219.

    Full description at Econpapers || Download paper

  7. Intraday price jumps, market liquidity, and the magnet effect of circuit breakers. (2020). Zhou, Jie ; Jian, Zhihong ; Zhu, Zhican ; Wu, Shuai.
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:70:y:2020:i:c:p:168-186.

    Full description at Econpapers || Download paper

  8. A survey on the magnet effect of circuit breakers in financial markets. (2020). Sifat, Imtiaz Mohammad ; Mohamad, Azhar.
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:69:y:2020:i:c:p:138-151.

    Full description at Econpapers || Download paper

  9. The magnet effect of circuit breakers and its interactions with price limits. (2020). Wong, Kin Ming ; Kong, Xiao Wei ; Li, Min.
    In: Pacific-Basin Finance Journal.
    RePEc:eee:pacfin:v:61:y:2020:i:c:s0927538x19305128.

    Full description at Econpapers || Download paper

  10. Circuit breakers as market stability levers: A survey of research, praxis, and challenges. (2019). Sifat, Imtiaz Mohammad ; Mohamad, Azhar.
    In: International Journal of Finance & Economics.
    RePEc:wly:ijfiec:v:24:y:2019:i:3:p:1130-1169.

    Full description at Econpapers || Download paper

  11. The Effect of Extremely Small Price Limits: Evidence from the Early Period of the Chinese Stock Market. (2019). Dong, Xinyue ; Li, Honggang.
    In: Emerging Markets Finance and Trade.
    RePEc:mes:emfitr:v:55:y:2019:i:7:p:1516-1530.

    Full description at Econpapers || Download paper

  12. A microstructure study of circuit breakers in the Chinese stock markets. (2019). Xu, Kuan ; Wang, Steven Shuye ; Zhang, Hao.
    In: Pacific-Basin Finance Journal.
    RePEc:eee:pacfin:v:57:y:2019:i:c:s0927538x1930068x.

    Full description at Econpapers || Download paper

  13. A Microstructure Study of Circuit Breakers in the Chinese Stock Markets. (2019). Xu, Kuan ; Wang, Steven Shuye ; Zhang, Hao.
    In: Working Papers.
    RePEc:dal:wpaper:daleconwp2019-02.

    Full description at Econpapers || Download paper

  14. The Magnet Effect of Circuit Breakers: A role of price jumps and market liquidity. (2018). Zhou, Jie ; Jian, Zhihong ; Zhu, Zhican ; Wu, Shuai.
    In: Departmental Working Papers.
    RePEc:win:winwop:2018-01.

    Full description at Econpapers || Download paper

  15. Order Aggressiveness and the Heating and Cooling-off Effects of Price Limits: Evidence from Taiwan Stock Exchange. (2018). Ding, Yu-Jia ; Hsin, Pei-Han ; Wang, Ming-Chang.
    In: Journal of Economics and Management.
    RePEc:jec:journl:v:14:y:2018:i:2:p:191-216.

    Full description at Econpapers || Download paper

  16. Price performance following stock’s IPO in different price limit systems. (2018). Wang, Yue ; Wu, Ting ; Li, Ming-Xia.
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:490:y:2018:i:c:p:953-966.

    Full description at Econpapers || Download paper

  17. Trading aggression when price limit hits are imminent: NARDL based intraday investigation of magnet effect. (2018). Sifat, Imtiaz Mohammad ; Mohamad, Azhar.
    In: Journal of Behavioral and Experimental Finance.
    RePEc:eee:beexfi:v:20:y:2018:i:c:p:1-8.

    Full description at Econpapers || Download paper

  18. Post-hit dynamics of price limit hits in the Chinese stock markets. (2017). Wang, Yue ; Wu, Ting ; Li, Ming-Xia.
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:465:y:2017:i:c:p:464-471.

    Full description at Econpapers || Download paper

  19. Modelling order arrivals at price limits using Hawkes processes. (2016). Fallahpour, Saeid ; Eyvazlu, Reza ; Haghighi, Afshin.
    In: Finance Research Letters.
    RePEc:eee:finlet:v:19:y:2016:i:c:p:267-272.

    Full description at Econpapers || Download paper

  20. Predicting the limit-hit frequency in futures contracts. (2013). Levy, Tamir ; Qadan, Mahmod ; Yagil, Joseph.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:30:y:2013:i:c:p:141-148.

    Full description at Econpapers || Download paper

  21. RECONSIDERING PRICE LIMIT EFFECTIVENESS. (2013). Kim, Kenneth ; Yang, Jimmy J. ; Liu, Haixiao.
    In: Journal of Financial Research.
    RePEc:bla:jfnres:v:36:y:2013:i:4:p:493-518.

    Full description at Econpapers || Download paper

  22. SWITCHING TO A TEMPORARY CALL AUCTION IN TIMES OF HIGH UNCERTAINTY. (2010). PASCUAL, ROBERTO ; Abad, David.
    In: Journal of Financial Research.
    RePEc:bla:jfnres:v:33:y:2010:i:1:p:45-75.

    Full description at Econpapers || Download paper

  23. Dividends and Market Signalling: an Analysis of Corporate Insider Trading. (2010). del Brio, Esther B ; de Miguel, Alberto.
    In: European Financial Management.
    RePEc:bla:eufman:v:16:y:2010:i:3:p:480-497.

    Full description at Econpapers || Download paper

  24. The magnet effect of price limits: A logit approach. (2009). Kim, Yong H. ; Hsieh, Ping-Hung ; Yang, Jimmy J..
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:16:y:2009:i:5:p:830-837.

    Full description at Econpapers || Download paper

  25. Switching to a temporary call auction in times of high uncertainty. (2007). PASCUAL, ROBERTO ; Abad, David.
    In: CNMV Working Papers.
    RePEc:cnv:wpaper:dt_19en.

    Full description at Econpapers || Download paper

Coauthors

Authors registered in RePEc who have wrote about the same topic

Report date: 2025-09-30 21:52:32 || Missing content? Let us know

CitEc is a RePEc service, providing citation data for Economics since 2001. Last updated August, 3 2024. Contact: Jose Manuel Barrueco.