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On the Magnet Effect of Price Limits
14 references·4 citing·41 second hop
On the Magnet Effect of Price Limits (2007)On the Magnet Effect of Price LimitsPrice limit performance: evidence from transactions data and the limit order book (2005)Price limit performance: evid…The magnet effect of price limits: evidence from high-frequency data on Taiwan Stock Exchange (2003)The magnet effect of price li…Quote setting and price formation in an order driven market (2002)Quote setting and price forma…Price limits and stock market volatility (2001)Price limits and stock market…Daily price limits and stock price behavior: evidence from the Taiwan stock exchange (2001)Daily price limits and stock …An experimental study of circuit breakers: The effects of mandated market closures and temporary halts on market behavior (2001)An experimental study of circ…Price Limits and Stock Market Volatility in the Athens Stock Exchange (1999)Price Limits and Stock Market…Price Limit Performance: Evidence from the Tokyo Stock Exchange (1997)Price Limit Performance: Evid…Do Daily Price Limits Act as Magnets? The Case of Treasury Bond Futures (1997)Do Daily Price Limits Act as …Circuit Breakers and Market Volatility: A Theoretical Perspective (1994)Circuit Breakers and Market V…Trading Mechanisms in Securities Markets (1992)Trading Mechanisms in Securit…Trading Mechanisms in Securities Markets (1992)Trading Mechanisms in Securit…Price, trade size, and information in securities markets (1987)Price, trade size, and inform…Continuous Auctions and Insider Trading (1985)Continuous Auctions and Insid…Herding and China's market-wide circuit breaker (2022)Herding and China's market-wi…Intraday return predictability in China’s crude oil futures market: New evidence from a unique trading mechanism (2021)Intraday return predictabilit…Circuit breakers as market stability levers: A survey of research, praxis, and challenges (2018)Circuit breakers as market st…SWITCHING TO A TEMPORARY CALL AUCTION IN TIMES OF HIGH UNCERTAINTY (2010)SWITCHING TO A TEMPORARY CALL…The Extreme Value Method for Estimating the Variance of the Rate of Return (1980)The Relation Between Price Changes and Trading Volume: A Survey (1987)Why Does Stock Market Volatility Change Over Time? (1989)Limits of arbitrage and idiosyncratic volatility: Evidence from China stock market (2016)Daily price limits and destructive market behavior (2018)Pandemic-Related Financial Market Volatility Spillovers: Evidence from the Chinese COVID-19 Epicentre (2020)Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Using daily stock returns (1985)Estimating the components of the bid/ask spread (1988)Measuring the Information Content of Stock Trades (1991)Market liquidity and volume around earnings announcements (1994)A Theory of Intraday Patterns: Volume and Price Variability (1988)Trading strategies during circuit breakers and extreme market movements (2004)Liquidity and Financial Market Stability (2010)Stock return variances (1986)Inferring Trade Direction from Intraday Data (1991)Emerging equity market volatility (1997)What Makes Circuit Breakers Attractive to Financial Markets? A Survey (2004)RECONSIDERING PRICE LIMIT EFFECTIVENESS (2013)An update on speculation and financialization in commodity markets (2018)Orange Juice and Weather (1984)Speculative markets and the effectiveness of price limits (2003)Securities and Exchange Commission (2004)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Intraday periodicity and volatility persistence in financial markets (1997)Deutsche Mark–Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies (1998)Statistical Properties and Pre-Hit Dynamics of Price Limit Hits in the Chinese Stock Markets (2015)Retail investor attention and herding behavior (2020)Investor Psychology and Security Market Under‐ and Overreactions (1998)Hide-and-Seek in the Market: Placing and Detecting Hidden Orders (2007)Limit Order Markets: A Survey (2008)Dark pool trading strategies, market quality and welfare (2016)An Analysis of Intraday Patterns in Bid/Ask Spreads for NYSE Stocks (1992)Market Structure and the Intraday Pattern of Bid-Ask Spreads for NASDAQ Securities (1995)Internet-Based Virtual Stock Markets for Business Forecasting (2003)Price Discovery without Trading: Evidence from Limit Orders (2019)Trading Patterns and Prices in the Interbank Foreign Exchange Market (1993)High frequency data in financial markets: Issues and applications (1997)Lifting the Veil: An Analysis of Pre‐trade Transparency at the NYSE (2005)Noise Trader Risk in Financial Markets (1990)Illiquidity and stock returns: cross-section and time-series effects (2002)
this work references cited by second hop

References

  • 1985Continuous Auctions and Insider Trading9,626 cited
  • 1987Price, trade size, and information in securities markets2,169 cited
  • 1992Trading Mechanisms in Securities Markets426 cited
  • 1997Price Limit Performance: Evidence from the Tokyo Stock Exchange377 cited
  • 1992Trading Mechanisms in Securities Markets356 cited
  • 1994Circuit Breakers and Market Volatility: A Theoretical Perspective259 cited
  • 2002Quote setting and price formation in an order driven market216 cited
  • 2003The magnet effect of price limits: evidence from high-frequency data on Taiwan Stock Exchange163 cited
  • 2005Price limit performance: evidence from transactions data and the limit order book115 cited
  • 2001Price limits and stock market volatility101 cited
  • 1999Price Limits and Stock Market Volatility in the Athens Stock Exchange83 cited
  • 2001An experimental study of circuit breakers: The effects of mandated market closures and temporary halts on market behavior68 cited
  • 1997Do Daily Price Limits Act as Magnets? The Case of Treasury Bond Futures67 cited
  • 2001Daily price limits and stock price behavior: evidence from the Taiwan stock exchange62 cited

Cited by

  • 2022

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Herding and China's market-wide circuit breaker
39 cited
  • 2010SWITCHING TO A TEMPORARY CALL AUCTION IN TIMES OF HIGH UNCERTAINTY31 cited
  • 2021Intraday return predictability in China’s crude oil futures market: New evidence from a unique trading mechanism28 cited
  • 2018Circuit breakers as market stability levers: A survey of research, praxis, and challenges27 cited