Modeling daily price limits

International Review of Financial Analysis

Volumn 8, Issue 3, 1999, Pages 283-301

  Chou, Pin Huang ^a  

^a NATIONAL CENTRAL UNIVERSITY   (Taiwan)

Author keywords

Generalized method of moments; Monte carlo simulation; Tobit censored regression model; Truncated regression model

Indexed keywords

EID: 0033096136     PISSN: 10575219     EISSN: None     Source Type: Journal    
DOI: 10.1016/S1057-5219(99)00022-8     Document Type: Article

References (20)

1. Berndt, E., Hall, B., Hall, R., & Hausman, J. (1974). Estimation and inference in nonlinear structural models. Annals of Economic and Social Measurement 3, 653-665.
2. Brennan, M. E. (1986). A theory of price limits in futures markets. Journal of Financial Economics 16, 213-233.
3. Chen, Y.-M. (1993). Price limits and stock market volatility in Taiwan. Pacific-Basin Finance Journal 1, 139-153.
4. Chiang, R., Wei, K. C., & Wu, R. (1990). Price limits in Taiwan and risk-return estimation. Pacific-Basin Capital Markets Research 1, 173-183.
5. Chou, P. H. (1997). A Gibbs sampling approach to the estimation of linear regression models under daily price limits, Pacific-Basin Finance Journal 5, 39-62.
6. Davidson, R., & MacKinnon, J. G. (1993). Estimation and Inference in Econometrics. New York: Oxford University Press.
7. Greenberg, E., & Webster, C. E., Jr. (1991). Advanced Econometrics: A Bridge to the Literature. Malabar: Krieger.
8. Greene, W. (1993). Econometric Analysis, 2nd Edition. New York: Macmillan.
9. Johnson, N. L., & Kotz, S. (1970). Continuous Univariate Distributions-1. New York: Wiley.
10. Kim, K. A., & Rhee, S. G. (1997). Price limit performance: Evidence from Tokyo stock exchange, Journal of Finance 52, 885-901.
11. Kodres, L. E. (1988). Tests of unbiasedness in foreign exchange futures markets: The effects of price limits (with discussion). Review of Futures Markets 7, 139-175.
12. Kodres, L. E. (1993). Tests of unbiasedness in foreign exchange futures markets: An examination of price limits and conditional heteroscedasticity. Journal of Business 66, 463-490.
13. Lee, S.-B., & Kim, K.-J. (1995). The effect of price limits on stock price volatility: Empirical evidence in Korea. Journal of Business Finance and Accounting 22, 257-267.
14. Ma, C. K. R., Rao, P., & Sears, S. R. (1989a). Limit moves and price resolution: The case of the treasury bond futures market. Journal of Futures Markets 9, 321-335.
15. Ma, C. K. R., Rao, P., & Sears, S. R. (1989b. Volatility, price resolution, and the effectiveness of price limits. Journal of Financial Services Research 3, 165-199.
16. Ma, T. (1993). Price limits, margin requirements, and stock market volatility: An empirical analysis of the Taiwan stock market. Research in International Business and Finance 10, 229-251.
17. Maddala, G. S. (1983). Limited-Dependent and Qualitative Variables in Econometrics. New York: Cambridge University Press.
18. Sutrick, K. H. (1993). Reducing the bias in empirical studies due to limit moves. Journal of Futures Markets 13, 527-543.
19. Wei, K. C. J., & Chiang, R. (1999). A GMM Approach for Estimation of Volatility and Regression Models When Daily Prices are Subject to Price Limits. Working paper. Hong Kong University of Science and Technology.
20. Yang, S., & Brorsen, B. W. (1995). Price limits as an explanation of thin-tailedness in pork bellies futures prices. Journal of Futures Markets 15, 45-59.