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The influence of daily price limits on trading in Nikkei futures

โœ Scribed by Berkman, Henk; Steenbeek, Onno W.

Publisher
John Wiley and Sons
Year
1998
Tongue
English
Weight
203 KB
Volume
18
Category
Article
ISSN
0270-7314

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โœฆ Synopsis

study the influence of price limits on the price formation process after the market has resumed trading. They conclude that price limits serve a useful function in giving the market "time to breathe." Kim and Rhee (1997) study daily price limits on the Tokyo Stock Exchange and conclude that price limits are ineffective.

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Examining futures price changes and volatility on the trading day after a limit-lock day
โœ Park, Chul Woo ๐Ÿ“‚ Article ๐Ÿ“… 2000 ๐Ÿ› John Wiley and Sons ๐ŸŒ English โš– 261 KB ๐Ÿ‘ 1 views

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