Effects of Price Limits on Volatility: Evidence from the Istanbul Stock Exchange

Emerging Markets Finance and Trade

Volumn 40, Issue 1, 2004, Pages 5-34

  Bildik, Recep ^a   Elekdag, Selim ^b  

^a Istanbul Stock Exchange   (Turkey)

^b JOHNS HOPKINS UNIVERSITY   (United States)

Author keywords

ARCH GARCH modeling; Emerging markets; Price limits; Volatility

Indexed keywords

EID: 1642346320     PISSN: 1540496X     EISSN: None     Source Type: Journal    
DOI: 10.1080/1540496x.2004.11052563     Document Type: Article

References (39)

1. Amihud, Y., and H. Mendelson. 1987. "Trading Mechanisms and Stock Returns: An Empirical Investigation." Journal of Finance 42, no. 3 (July): 533-553.
2. _. 1991. "Volatility, Efficiency and Trading: Evidence from the Japanese Stock Market." Journal of Finance 46, no. 5 (December): 1765-1789.
3. Berkman, H., and O.W. Steenbeek. 1998. "The Influence of Daily Price Limits on Trading in Nikkei Futures." Journal of Future Markets 18, no. 3 (May): 265-279.
4. Berry, T.H., and H.M. Howe. 1994. "Public Information Arrival." Journal of Finance 49, no. 4 (September): 1331-1346.
5. Black, F. 1976. "The Pricing of Commodity Contracts." Journal of Financial Economics 3 (January-March): 167-179.
6. Bollerslev, T., and J.M. Wooldridge. 1992. "Quasi-Maximum Likelihood Estimation and Inference in Dynamic Models with Time Varying Covariances." Econometric Reviews 3 (September-October): 112-136.
7. Bollerslev, T.; R. Y. Chou; and K.F. Kroner. 1992. "ARCH Modelling in Finance: A Review of the Theory and Empirical Evidence." Journal of Econometrics 52, nos. 1-2 (April-May): 5-59.
8. Bollerslev, T.; E. Engle; and D. Nelson. 1994. "ARCH Models." In Handbook of Econometrics, vol. 4, ed. R.F. Engle and D.M. Fadden, pp. 2959-3038. Amsterdam: North-Holland.
9. Brennan, M.J. 1986. "A Theory of Price Limits in Future Markets." Journal of Financial Economics 16, no. 2 (June): 213-233.
10. Chen, H. 1998. "Price Limits, Overreaction, and Price Resolution in Futures Markets." Journal of Futures Markets 18, no. 3 (May): 243-263.
11. Chen, Y.M. 1993. "Price Limits and Stock Market Volatility in Taiwan." Pacific Basin Finance Journal 1, no. 2 (May): 139-153.
12. Chung, J.R. 1991. "Price Limit System and Volatility of Korean Stock Market." In Pacific Basin Capital Market Research, vol. 2, ed. S.G. Rhee and R.P. Chang, pp. 283-294. Amsterdam: North-Holland.
13. Conrad, J.; G. Kaul; and M. Nimalendran. 1991. "Components of Short-Horizon Individual Security Returns." Journal of Financial Economics 29, no. 2 (October): 365-384.
14. Fama, E.F. 1989. "Black Monday and the Future of Financial Markets." In Perspectives on October 1987, ed. R.W. Kamphuis, R.C. Kormendi, and J.W. Watson, pp. 155-179. Homewood, IL: Irwin.
15. France, V.G.; L. Kodres; and J.T. Moser. 1994. "A Review of Regulatory Mechanisms to Control the Volatility of Prices, Economic Perspectives." Federal Reserve Bank of Chicago 3 (November-December): 15-26.
16. Gerety, M.S., and J.H. Mulherin. 1992. "Trading Halts and Market Activity: An Analysis of Volume and Open and Close." Journal of Finance 47, no. 5 (December): 1765-1784.
17. Glosten, L.; R. Jagannathan; and D. Runkle. 1993. "On the Relation Between the Expected Value and the Volatility of the Nominal Excess Return on Stocks." Journal of Finance 48, no. 5 (December): 1779-1802.
18. Harvey, A.C. 1989. Forecasting, Time Series Models and the Kalman Filter. Cambridge: Cambridge University Press.
19. Huang, Y.S. 1997. "The Size Anomaly on the Taiwan Stock Exchange." Applied Economics Letter 4, no. 1: 7-12.
20. Kim, K.A., and P. Limpsphayom. 2000. "Characteristics of Stocks that Frequently Hit Price Limits: Empirical Evidence from Taiwan and Thailand." Journal of Financial Markets 3, no. 3 (August): 315-332.
21. Kim, K.A., and S.G. Rhee. 1997. "Price Limit Performance: Evidence from the Tokyo Stock Exchange." Journal of Finance 52, no. 2 (June): 885-901.
22. Kodres, L., and D. O'Brien. 1994. "The Existence of Pareto Superior Price Limits." American Economic Review 84, no. 4 (September): 919-932.
23. Kuhn, B.A.; G.J. Kurserk; and P. Locke. 1991. "Do Circuit Breakers Moderate Volatility? Evidence from October 1989." Review of Future Markets 10, no. 2: 426-434.
24. Kyle, A.S. 1988. "Trading Halts and Price Limits." Review of Future Markets 7 (March): 426-434.
25. Lauterbach, B., and U. Ben-Zion. 1993. "Stock Market Crashes and the Performance of Circuit Breakers: Empirical Evidence." Journal of Finance 48, no. 5 (December): 1909-1925.
26. Lee, C.; R. Mark; and P. Seguin. 1994. "Volume, Volatility, and NYSE Trading Halts." Journal of Finance 49, no. 1 (March): 183-213.
27. Lehmann, B.N. 1989. "Commentary: Volatility, Price Resolution, and the Effectiveness of Price Limits." Journal of Financial Services Research 3, no. 1 (December): 205-209.
28. Ljung, C.M., and G.E. Box. 1978, "On Measuring of Lag in Time Series Models." Biometrics 67: 297-303.
29. Ma, C.K.; R.P. Rao; and R.S. Sears. 1989. "Volatility, Price Resolution, and Effectiveness of Price Limits." Journal of Financial Services Research 3, no. 2 (October): 165-199.
30. Miller, M.H. 1989. "Comment: Volatility, Price Resolution, and the Effectiveness of Price Limits." Journal of Financial Services Research 3, no. 1: 201-203.
31. _. 1991. Financial Innovations and Market Volatility. Oxford: Basil Blackwell.
32. Moser, J.T. 1990. "Circuit Breakers, Economic Perspectives." Federal Reserve Bank of Chicago 14 (September-October): 2-13.
33. Phylaktis, K.; M. Kavussanos; and G. Manalis. 1996. "Stock Prices and the Flow of Information in the Athens Stock Exchange." European Financial Management 2, no. 1 (March): 113-126.
34. _. 1999. "Price Limits and Stock Market Volatility in the Athens Stock Exchange." European Financial Management 5, no. 1 (March): 69-84.
35. Roll, R. 1989. "Price, Volatility, International Market Links, and Their Implications for Regulatory Policies." Journal of Financial Services Research 3, no. 2: 211-246.
36. Schwert, W.G. 1989. "Why Does Stock Market Volatility Change over Time?" Journal of Finance 44, no. 5 (December): 1115-1153.
37. Stoll, H., and R. Whaley. 1990. "Stock Market Structure and Volatility." Review of Financial Studies 3, no. 1 (March): 37-71.
38. Subrahmanyam, A. 1994. "Circuit Breakers and Market Volatility: A Theoretical Perspective." Journal of Finance 49, no. 1 (March): 237-254.
39. Telser, L.G. 1981. "Margins and Futures Contract." Journal of Futures Market 1, no. 2: 225-253.