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THE EFFECT OF PRICE LIMITS ON STOCK PRICE VOLATILITY: EMPIRICAL EVIDENCE IN KOREA
8 references·5 citing·46 second hop
THE EFFECT OF PRICE LIMITS ON STOCK PRICE VOLATILITY: EMPIRICAL EVIDENCE IN KOREA (1995)THE EFFECT OF PRICE LIMITS ON STOCK PRICE…Price limits and stock market volatility in Taiwan (1993)Price limits and stock market…Why Does Stock Market Volatility Change Over Time? (1989)Why Does Stock Market Volatil…Limit moves and price resolution: The case of the treasury bond futures market (1989)Limit moves and price resolut…Black Monday and the future of financial markets (1989)Black Monday and the future o…The International Crash of October 1987 (1988)The International Crash of Oc…Stock return variances (1986)Stock return variancesA theory of price limits in futures markets (1986)A theory of price limits in f…Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends? (1980)Do Stock Prices Move Too Much…Circuit breakers as market stability levers: A survey of research, praxis, and challenges (2018)Circuit breakers as market st…Price limits and volatility (2016)Price limits and volatilityDo price limits hurt the market? (2013)Do price limits hurt the mark…Examining the effectiveness of price limits in an artificial stock market (2010)Examining the effectiveness o…PRICE LIMITS AND STOCK MARKET EFFICIENCY (1996)PRICE LIMITS AND STOCK MARKET…Dividend Policy, Growth, and the Valuation of Shares (1961)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Noise Trader Risk in Financial Markets (1990)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Time Series Analysis, Forecasting, and Control (1995)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)Does the Stock Market Overreact? (1985)Using daily stock returns (1985)Volatility, Price Resolution, and the Effectiveness of Price Limits (1989)Volatility, price resolution, and the effectiveness of price limits (1989)Characteristics of stocks that frequently hit price limits: Empirical evidence from Taiwan and Thailand (2000)Judgment under Uncertainty: Heuristics and Biases (1974)Heterogeneous beliefs and routes to chaos in a simple asset pricing model (1998)The Economy as an Evolving Complex System II (2018)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)Improving the liquidity of China's carbon market: Insight from the effect of carbon price transmission under the policy release (2019)Sailing through the COVID-19 Crisis by Using AI for Financial Market Predictions (2020)Computational Experiments for Complex Social Systems—Part I: The Customization of Computational Model (2021)The pricing of commodity contracts (1976)Evaluating Natural Resource Investments (1985)Price volatility, international market links, and their implications for regulatory policies (1989)Leverage and Market Stability: The Role of Margin Rules and Price Limits (1998)The magnet effect of price limits: evidence from high-frequency data on Taiwan Stock Exchange (2003)Proof that Properly Anticipated Prices Fluctuate Randomly (2015)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Expected stock returns and volatility (1987)Daily price limits and stock price behavior: evidence from the Taiwan stock exchange (2001)ARE PRICE LIMITS EFFECTIVE? EVIDENCE FROM THE ISTANBUL STOCK EXCHANGE (2006)Are price limits really bad for equity markets? (2010)Investigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)Causality in temporal systems (1977)Comparing alternative tests of causality in temporal systems (1983)Critical market crashes (2003)The big, bad wolf and the rational market: portfolio insurance, the 1987 crash and the performativity of economics (2004)Exchange trading rules and stock market liquidity☆ (2010)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)ARCH modeling in finance (1992)The Cross‐Section of Volatility and Expected Returns (2006)Stock Market Crashes, Precursors and Replicas (1996)Large financial crashes (1997)
this work references cited by second hop

References

  • 1980Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends?4,020 cited
  • 1989Why Does Stock Market Volatility Change Over Time?3,433 cited
  • 1986Stock return variances1,813 cited
  • 1988The International Crash of October 1987394 cited
  • 1989Black Monday and the future of financial markets249 cited
  • 1986A theory of price limits in futures markets211 cited
  • 1989Limit moves and price resolution: The case of the treasury bond futures market98 cited
  • 1993Price limits and stock market volatility in Taiwan71 cited

Cited by

  • 2010Examining the effectiveness of price limits in an artificial stock market70 cited
  • 2013Do price limits hurt the market?28 cited
  • 2018Circuit breakers as market stability levers: A survey of research, praxis, and challenges27 cited
  • 2016Price limits and volatility24 cited
  • 1996PRICE LIMITS AND STOCK MARKET EFFICIENCY22 cited

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