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Limit moves and price resolution: The case of the treasury bond futures market

โœ Scribed by Christopher K. Ma; Ramesh P. Rao; R. Stephen Sears

Publisher
John Wiley and Sons
Year
1989
Tongue
English
Weight
687 KB
Volume
9
Category
Article
ISSN
0270-7314

No coin nor oath required. For personal study only.

โœฆ Synopsis

The authors gratefully acknowledge the assistance of Dr. Jim Wook Choi of the Chicago Board of Trade and the helpful comments provided by Franklin Edwards, the editorial staff and the anonymous referees of the Journal.

Iln light of the October 19, 1987 market "crash," this argument is also shared by proponents of stock index future price limits (see Brady Report (1988) for details).

*Brennan (1986) provides the theoretical framework for the role that price limits can serve in reducing default risk.

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