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Price limits, margin requirements, and default risk
16 references·0 citing·42 second hop
Price limits, margin requirements, and default risk (2000)Price limits, margin requirements, and de…American Economic Review (2019)American Economic ReviewOptimal margin level in futures markets: Extreme price movements (1999)Optimal margin level in futur…Price Limit Performance: Evidence from the Tokyo Stock Exchange (1997)Price Limit Performance: Evid…Volume, Volatility, and New York Stock Exchange Trading Halts (1994)Volume, Volatility, and New Y…Volume, Volatility, and New York Stock Exchange Trading Halts (1994)Volume, Volatility, and New Y…Circuit Breakers and Market Volatility: A Theoretical Perspective (1994)Circuit Breakers and Market V…Transactional risk, market crashes, and the role of circuit breakers (1993)Transactional risk, market cr…Transactional Risk, Market Crashes, and the Role of Circuit Breakers (1991)Transactional Risk, Market Cr…Volatility, Price Resolution, and the Effectiveness of Price Limits (1989)Volatility, Price Resolution,…Limit moves and price resolution: The case of the treasury bond futures market (1989)Limit moves and price resolut…Commentary: Volatility, Price Resolution, and the Effectiveness of Price Limits (1989)Commentary: Volatility, Price…Black Monday and the future of financial markets (1989)Black Monday and the future o…A theory of price limits in futures markets (1986)A theory of price limits in f…The Industrial Organization of Futures Markets (1985)The Industrial Organization o…Margins and market integrity: Margin setting for stock index futures and options (1984)Margins and market integrity:…Margins and futures contracts (1981)Margins and futures contractsThe 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)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)The Pricing of Options and Corporate Liabilities (1973)Competition among Exchanges (2001)Extreme spectral risk measures: An application to futures clearinghouse margin requirements (2006)Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Continuous Auctions and Insider Trading (1985)A Theory of Intraday Patterns: Volume and Price Variability (1988)The magnet effect of price limits: evidence from high-frequency data on Taiwan Stock Exchange (2003)Trading strategies during circuit breakers and extreme market movements (2004)Liquidity and Financial Market Stability (2010)The Microstructure of Securities Markets. (1986)Liquidity and Market Structure (1988)Nasdaq Trading Halts: The Impact of Market Mechanisms on Prices, Trading Activity, and Execution Costs (2002)Speculative markets and the effectiveness of price limits (2003)Retail investor attention and herding behavior (2020)Inferring Trade Direction from Intraday Data (1991)Time and the Process of Security Price Adjustment (1992)Order Flow and Liquidity around NYSE Trading Halts (2000)Religion, Ethics and Stock Trading: The Case of an Islamic Equities Market (2000)News-driven return reversals: Liquidity provision ahead of earnings announcements (2014)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)Proof that Properly Anticipated Prices Fluctuate Randomly (2015)Differences of Opinion Make a Horse Race (1993)Market structure, fragmentation, and market quality (2006)Stock Market Crashes and the Performance of Circuit Breakers: Empirical Evidence (1993)Institutional Investors and Stock Market Volatility (2005)Upper Echelons: The Organization as a Reflection of Its Top Managers (1984)The Relational View: Cooperative Strategy and Sources of Interorganizational Competitive Advantage (1998)The Promise of Entrepreneurship as a Field of Research (2000)Stock Market Crashes, Precursors and Replicas (1996)Large financial crashes (1997)Critical market crashes (2003)
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References

  • 2019American Economic Review10,902 cited
  • 1997Price Limit Performance: Evidence from the Tokyo Stock Exchange377 cited
  • 1994Circuit Breakers and Market Volatility: A Theoretical Perspective259 cited
  • 1989Black Monday and the future of financial markets249 cited
  • 1986A theory of price limits in futures markets211 cited
  • 1994Volume, Volatility, and New York Stock Exchange Trading Halts208 cited
  • 1994Volume, Volatility, and New York Stock Exchange Trading Halts178 cited
  • 1991Transactional Risk, Market Crashes, and the Role of Circuit Breakers157 cited
  • 1993Transactional risk, market crashes, and the role of circuit breakers142 cited
  • 1984Margins and market integrity: Margin setting for stock index futures and options135 cited
  • 1981Margins and futures contracts127 cited
  • 1989Volatility, Price Resolution, and the Effectiveness of Price Limits108 cited
  • 1989Commentary: Volatility, Price Resolution, and the Effectiveness of Price Limits106 cited
  • 1999Optimal margin level in futures markets: Extreme price movements99 cited
  • 1989Limit moves and price resolution: The case of the treasury bond futures market98 cited

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  • 1985The Industrial Organization of Futures Markets97 cited
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