SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Price Limit Performance: Evidence from the Tokyo Stock Exchange
6 references·16 citing·52 second hop
Price Limit Performance: Evidence from the Tokyo Stock Exchange (1997)Price Limit Performance: Evidence from th…Stock Market Structure and Volatility (1990)Stock Market Structure and Vo…Why Does Stock Market Volatility Change Over Time? (1989)Why Does Stock Market Volatil…The Relation Between Price Changes and Trading Volume: A Survey (1987)The Relation Between Price Ch…Stock return variances (1986)Stock return variancesA transaction data study of weekly and intradaily patterns in stock returns (1986)A transaction data study of w…The Extreme Value Method for Estimating the Variance of the Rate of Return (1980)The Extreme Value Method for …Pandemic-Related Financial Market Volatility Spillovers: Evidence from the Chinese COVID-19 Epicentre (2020)Pandemic-Related Financial Ma…Daily price limits and destructive market behavior (2018)Daily price limits and destru…An update on speculation and financialization in commodity markets (2018)An update on speculation and …Limits of arbitrage and idiosyncratic volatility: Evidence from China stock market (2016)Limits of arbitrage and idios…RECONSIDERING PRICE LIMIT EFFECTIVENESS (2013)RECONSIDERING PRICE LIMIT EFF…Analysis of market efficiency for the Shanghai stock market over time (2010)Analysis of market efficiency…Why Do Price Limits Exist in Stock Markets? A Manipulation‐Based Explanation (2008)Why Do Price Limits Exist in …Price limit performance: evidence from transactions data and the limit order book (2005)Price limit performance: evid…What Makes Circuit Breakers Attractive to Financial Markets? A Survey (2004)What Makes Circuit Breakers A…The magnet effect of price limits: evidence from high-frequency data on Taiwan Stock Exchange (2003)The magnet effect of price li…Speculative markets and the effectiveness of price limits (2003)Speculative markets and the e…The components of the bid–ask spread in a limit-order market: evidence from the Tokyo Stock Exchange (2002)The components of the bid–ask…Korean stock prices under price limits: variance ratio tests of random walks (2002)Korean stock prices under pri…Price limits and stock market volatility (2001)Price limits and stock market…Characteristics of stocks that frequently hit price limits: Empirical evidence from Taiwan and Thailand (2000)Characteristics of stocks tha…Price Limits and Stock Market Volatility in the Athens Stock Exchange (1999)Price Limits and Stock Market…The Behavior of Stock-Market Prices (1965)Stock returns and the weekend effect (1980)A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market (1984)Simple Technical Trading Rules and the Stochastic Properties of Stock Returns (1992)Do Brokerage Analysts' Recommendations Have Investment Value? (1996)Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk (2001)The econometrics of ultra-high frequency data /Misspecification of capital asset pricing (1981)The relationship between return and market value of common stocks (1981)The Dependence between Hourly Prices and Trading Volume (1988)Statistical properties of the volatility of price fluctuations (1999)Continuous Auctions and Insider Trading (1985)A Theory of Intraday Patterns: Volume and Price Variability (1988)Intraday Volatility in the Stock Index and Stock Index Futures Markets (1991)Periodic market closure and trading volume (1992)Market microstructure: A survey of microfoundations, empirical results, and policy implications (2005)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)The Information Content of Annual Earnings Announcements (1968)A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices (1973)Differences of Opinion Make a Horse Race (1993)Market liquidity and volume around earnings announcements (1994)Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data (1998)Risk, Return, and Equilibrium: Empirical Tests (1973)Common risk factors in the returns on stocks and bonds (1993)On Persistence in Mutual Fund Performance (1997)Economic policy uncertainty and the Chinese stock market volatility: Novel evidence (2019)Idiosyncratic skewness, gambling preference, and cross-section of stock returns: Evidence from China (2019)ESG investment in China: Doing well by doing good (2022)Positive Feedback Investment Strategies and Destabilizing Rational Speculation (1990)Measuring Mutual Fund Performance with Characteristic‐Based Benchmarks (1997)All That Glitters: The Effect of Attention and News on the Buying Behavior of Individual and Institutional Investors (2007)Investor Attention and Asset Pricing Anomalies (2021)Retail Trading and Return Predictability in China (2024)Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends? (1980)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Expected stock returns and volatility (1987)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)ARCH modeling in finance (1992)The Cross‐Section of Volatility and Expected Returns (2006)Generalized impulse response analysis in linear multivariate models (1998)Dynamic Conditional Correlation (2002)Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)Any port in a storm: Cryptocurrency safe-havens during the COVID-19 pandemic (2020)Asymmetric spillover and network connectedness between crude oil, gold, and Chinese sector stock markets (2021)Co-movement of energy prices and stock market return: environmental wavelet nexus of COVID-19 pandemic from the USA, Europe, and China (2021)Theory of Financial Decision Making. (1988)Forecasting Volatility in Financial Markets: A Review (2003)Does Algorithmic Trading Improve Liquidity? (2011)
this work references cited by second hop

References

  • 1989Why Does Stock Market Volatility Change Over Time?3,433 cited
  • 1987The Relation Between Price Changes and Trading Volume: A Survey2,380 cited
  • 1980The Extreme Value Method for Estimating the Variance of the Rate of Return1,946 cited
  • 1986Stock return variances1,813 cited
  • 1986A transaction data study of weekly and intradaily patterns in stock returns813 cited
  • 1990Stock Market Structure and Volatility544 cited

Cited by

  • 2020Pandemic-Related Financial Market Volatility Spillovers: Evidence from the Chinese COVID-19 Epicentre248 cited
  • 2016Limits of arbitrage and idiosyncratic volatility: Evidence from China stock market181 cited
  • 2018Daily price limits and destructive market behavior170 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
  • 2002The components of the bid–ask spread in a limit-order market: evidence from the Tokyo Stock Exchange114 cited
  • 2003Speculative markets and the effectiveness of price limits107 cited
  • 2001Price limits and stock market volatility101 cited
  • 2018

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

An update on speculation and financialization in commodity markets
96 cited
  • 2000Characteristics of stocks that frequently hit price limits: Empirical evidence from Taiwan and Thailand94 cited
  • 2010Analysis of market efficiency for the Shanghai stock market over time92 cited
  • 2002Korean stock prices under price limits: variance ratio tests of random walks89 cited
  • 2004What Makes Circuit Breakers Attractive to Financial Markets? A Survey86 cited
  • 1999Price Limits and Stock Market Volatility in the Athens Stock Exchange83 cited
  • 2013RECONSIDERING PRICE LIMIT EFFECTIVENESS79 cited
  • 2008Why Do Price Limits Exist in Stock Markets? A Manipulation‐Based Explanation75 cited