-
1
-
-
0031161196
-
Intraday periodicity and volatility persistence in financial markets
-
Andersen, T. G. and T. Bollerslev, 1997, Intraday periodicity and volatility persistence in financial markets, Journal of Empirical Finance 4, 115-58.
-
(1997)
Journal of Empirical Finance
, vol.4
, pp. 115-158
-
-
Andersen, T.G.1
Bollerslev, T.2
-
3
-
-
1642346320
-
The effects of price limits on volatility: Evidence from Istanbul Stock Exchange
-
Bildik, R. and S. Elekdag, 2004, The effects of price limits on volatility: Evidence from Istanbul Stock Exchange, Emerging Markets Finance and Trade 40, 5-33.
-
(2004)
Emerging Markets Finance and Trade
, vol.40
, pp. 5-33
-
-
Bildik, R.1
Elekdag, S.2
-
4
-
-
33748491952
-
A theory of price limits in future markets
-
Brennan, M. J., 1986, A theory of price limits in future markets, Journal of Financial Economics 16, 213-33.
-
(1986)
Journal of Financial Economics
, vol.16
, pp. 213-233
-
-
Brennan, M.J.1
-
5
-
-
84978555521
-
Futures pricing and the cost of carry under price limits
-
Chance, M. D., 1994, Futures pricing and the cost of carry under price limits, Journal of Futures Markets 14, 813-36.
-
(1994)
Journal of Futures Markets
, vol.14
, pp. 813-836
-
-
Chance, M.D.1
-
6
-
-
0032375907
-
Price limits, overreaction, and price resolution in futures markets
-
Chen, H., 1998, Price limits, overreaction, and price resolution in futures markets, Journal of Futures Markets 18, 243-63.
-
(1998)
Journal of Futures Markets
, vol.18
, pp. 243-263
-
-
Chen, H.1
-
7
-
-
38249001584
-
Price limits and stock market volatility in Taiwan
-
Chen, Y. M., 1993, Price limits and stock market volatility in Taiwan, Pacific Basin Finance Journal 1, 139-53.
-
(1993)
Pacific Basin Finance Journal
, vol.1
, pp. 139-153
-
-
Chen, Y.M.1
-
8
-
-
0005758831
-
Price limit system and volatility of Korean Stock Market
-
S. G. Rhee and R. P. Chang (eds.), (Amsterdam North Holland)
-
Chung, J. R., 1991, Price limit system and volatility of Korean Stock Market, in S. G. Rhee and R. P. Chang (eds.), Pacific Basin Capital Market Research, II (Amsterdam North Holland), pp. 283-94.
-
(1991)
Pacific Basin Capital Market Research, II
, pp. 283-294
-
-
Chung, J.R.1
-
9
-
-
0042355570
-
A review of regulatory mechanisms to control the volatility of prices
-
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, 15-26.
-
(1994)
Economic Perspectives, Federal Reserve Bank of Chicago
, vol.3
, pp. 15-26
-
-
France, V.G.1
Kodres, L.2
Moser, J.T.3
-
10
-
-
0039084784
-
Stock return variances: The arrival of information and the reaction of traders
-
French, K. and R. Roll, 1986, Stock return variances: The arrival of information and the reaction of traders, Journal of Financial Economics 17, 5-26.
-
(1986)
Journal of Financial Economics
, vol.17
, pp. 5-26
-
-
French, K.1
Roll, R.2
-
11
-
-
84993661619
-
Trading halts and market activity: An analysis of volume and open and close
-
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, 1765-84.
-
(1992)
Journal of Finance
, vol.47
, pp. 1765-1784
-
-
Gerety, M.S.1
Mulherin, J.H.2
-
12
-
-
46149130184
-
A transaction data study of weekly and intradaily patterns in stock returns
-
Harris, L., 1986, A transaction data study of weekly and intradaily patterns in stock returns, Journal of Financial Economics 16, 99-117.
-
(1986)
Journal of Financial Economics
, vol.16
, pp. 99-117
-
-
Harris, L.1
-
13
-
-
0347587999
-
Futures price limit moves as options
-
Holder, M., C. K. Ma, and J. E. Mallett, 2002, Futures price limit moves as options, Journal of Futures Markets 22, 901-13.
-
(2002)
Journal of Futures Markets
, vol.22
, pp. 901-913
-
-
Holder, M.1
Ma, C.K.2
Mallett, J.E.3
-
14
-
-
0000034897
-
Characteristics of stocks that frequently hit price limits: Empirical evidence from Taiwan and Thailand
-
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, 315-32.
-
(2000)
Journal of Financial Markets
, vol.3
, pp. 315-332
-
-
Kim, K.A.1
Limpsphayom, P.2
-
15
-
-
0040955283
-
Price limit performance: Evidence from the Tokyo Stock Exchange
-
Kim, K. A. and G. S. Rhee, 1997, Price limit performance: Evidence from the Tokyo Stock Exchange, Journal of Finance 52, 885-901.
-
(1997)
Journal of Finance
, vol.52
, pp. 885-901
-
-
Kim, K.A.1
Rhee, G.S.2
-
16
-
-
21144469577
-
Tests of unbiasedness in foreign exchange futures markets: An examination of price limits and conditional heteroscedasticity
-
Kodres, L., 1993, Tests of unbiasedness in foreign exchange futures markets: An examination of price limits and conditional heteroscedasticity, Journal of Business 66, 463-90.
-
(1993)
Journal of Business
, vol.66
, pp. 463-490
-
-
Kodres, L.1
-
18
-
-
84993914916
-
Volume, volatility, and NYSE trading halts
-
Lee, C., M. Ready, and P. Seguin, 1994, Volume, volatility, and NYSE trading halts, Journal of Finance 49, 183-213.
-
(1994)
Journal of Finance
, vol.49
, pp. 183-213
-
-
Lee, C.1
Ready, M.2
Seguin, P.3
-
19
-
-
0000031974
-
Commentary: Volatility, price resolution, and the effectiveness of price limits
-
Lehmann, B. N., 1989, Commentary: Volatility, price resolution, and the effectiveness of price limits, Journal of Financial Services Research 3, 205-9.
-
(1989)
Journal of Financial Services Research
, vol.3
, pp. 205-209
-
-
Lehmann, B.N.1
-
20
-
-
33947627241
-
Volatility, price resolution, and effectiveness of price limits
-
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, 165-99.
-
(1989)
Journal of Financial Services Research
, vol.3
, pp. 165-199
-
-
Ma, C.K.1
Rao, R.P.2
Sears, R.S.3
-
21
-
-
34249968271
-
Comment: Volatility, price resolution, and the effectiveness of price limits
-
Miller, M. H., 1989, Comment: Volatility, price resolution, and the effectiveness of price limits, Journal of Financial Services Research, 3, 201-3.
-
(1989)
Journal of Financial Services Research
, vol.3
, pp. 201-203
-
-
Miller, M.H.1
-
22
-
-
80053256245
-
Price limits and stock market volatility in the Athens Stock Exchange
-
Phylaktis, K., M. Kavussanos, and G. Manalis, 1999, Price limits and stock market volatility in the Athens Stock Exchange, European Financial Management 5, 69-84.
-
(1999)
European Financial Management
, vol.5
, pp. 69-84
-
-
Phylaktis, K.1
Kavussanos, M.2
Manalis, G.3
-
23
-
-
0011018153
-
Price volatility, international market links, and their implications for regulatory policies
-
Roll, R., 1989, Price volatility, international market links, and their implications for regulatory policies, Journal of Financial Services Research 3, 211-46.
-
(1989)
Journal of Financial Services Research
, vol.3
, pp. 211-246
-
-
Roll, R.1
|