Price limits, overreaction, and price resolution in futures markets
โ Scribed by Chen, Haiwei
- Publisher
- John Wiley and Sons
- Year
- 1998
- Tongue
- English
- Weight
- 220 KB
- Volume
- 18
- Category
- Article
- ISSN
- 0270-7314
No coin nor oath required. For personal study only.
๐ SIMILAR VOLUMES
## Abstract We extend the work of Brennan (1986) to investigate whether the imposition of spot price limits can further reduce the default risk and lower the effective margin requirement for a futures contract that is already under price limits. Our results show that spot price limits do indeed fur
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 b
Another major economic function of the futures market is a price discovery role. Futures price for a commodity represents all the information about the future cash price. So, economic agents make plans and decisions by looking at the futures price. Jisoo Yo0 is an Assistant professor o f Economics