Estimating the effect of price limits on limit-hitting days
โ Scribed by Jeff Chung; Li Gan
- Book ID
- 110879998
- Publisher
- John Wiley and Sons
- Year
- 2005
- Tongue
- English
- Weight
- 132 KB
- Volume
- 8
- Category
- Article
- ISSN
- 1368-4221
No coin nor oath required. For personal study only.
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This paper examines the effect that price limits have on futures prices by testing what happens to price changes and volatility on the trading day following a limit-lock day. The results show evidence that prices continue to rise on average the day after an up-limit day. In addition, limits appear t
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