✦ LIBER ✦

Examining futures price changes and volatility on the trading day after a limit-lock day

✍ Scribed by Park, Chul Woo

Publisher: John Wiley and Sons
Year: 2000
Tongue: English
Weight: 261 KB
Volume: 20
Category: Article
ISSN: 0270-7314
DOI: 10.1002/(sici)1096-9934(200005)20:5<445::aid-fut3>3.0.co;2-w

No coin nor oath required. For personal study only.

✦ Synopsis

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 to influence price volatility for some but not all of the futures contracts. However, since the findings vary across the different commodity futures contracts, it is likely that limits do not directly impact price volatility.