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The magnet effect of price limits: evidence from high-frequency data on Taiwan Stock Exchange
8 references·16 citing·50 second hop
The magnet effect of price limits: evidence from high-frequency data on Taiwan Stock Exchange (2003)The magnet effect of price limits: eviden…Deutsche Mark–Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies (1998)Deutsche Mark–Dollar Volatili…Price Limit Performance: Evidence from the Tokyo Stock Exchange (1997)Price Limit Performance: Evid…Intraday periodicity and volatility persistence in financial markets (1997)Intraday periodicity and vola…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…Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Returns to Buying Winners and…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…Retail investor attention and herding behavior (2020)Retail investor attention and…Statistical Properties and Pre-Hit Dynamics of Price Limit Hits in the Chinese Stock Markets (2015)Statistical Properties and Pr…RECONSIDERING PRICE LIMIT EFFECTIVENESS (2013)RECONSIDERING PRICE LIMIT EFF…Effectiveness, cause and impact of price limit—Evidence from China's cross-listed stocks (2013)Effectiveness, cause and impa…Are price limits really bad for equity markets? (2010)Are price limits really bad f…The magnet effect of price limits: A logit approach (2009)The magnet effect of price li…Sampling Returns for Realized Variance Calculations: Tick Time or Transaction Time? (2008)Sampling Returns for Realized…Can Price Limits Help When the Price is Falling? Evidence from Transactions Data on the Shanghai Stock Exchange (2008)Can Price Limits Help When th…The effect of price limits on intraday volatility and information asymmetry (2007)The effect of price limits on…Relative performance of trading halts and price limits: Evidence from the Spanish Stock Exchange (2007)Relative performance of tradi…On the Magnet Effect of Price Limits (2007)On the Magnet Effect of Price…The Effectiveness of Price Limits and Stock Characteristics: Evidence from the Shanghai and Shenzhen Stock Exchanges (2005)The Effectiveness of Price Li…The current state of Asia-Pacific stock exchanges: A critical review of market design (2005)The current state of Asia-Pac…Price limit performance: evidence from transactions data and the limit order book (2005)Price limit performance: evid…An Anatomy of the Magnet Effect: Evidence from the Korea Stock Exchange High-Frequency Data (2005)An Anatomy of the Magnet Effe…What Makes Circuit Breakers Attractive to Financial Markets? A Survey (2004)What Makes Circuit Breakers A…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)Continuous Auctions and Insider Trading (1985)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)An update on speculation and financialization in commodity markets (2018)The pricing of commodity contracts (1976)Evaluating Natural Resource Investments (1985)Price volatility, international market links, and their implications for regulatory policies (1989)Volatility, Price Resolution, and the Effectiveness of Price Limits (1989)Leverage and Market Stability: The Role of Margin Rules and Price Limits (1998)Proof that Properly Anticipated Prices Fluctuate Randomly (2015)Risk, Return, and Equilibrium: Empirical Tests (1973)Does the Stock Market Overreact? (1985)The Cross-Section of Expected Stock Returns (1992)Multifactor Explanations of Asset Pricing Anomalies (1996)On Persistence in Mutual Fund Performance (1997)Investor Psychology and Security Market Under‐ and Overreactions (1998)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Realized Variance and Market Microstructure Noise (2006)Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise (2008)A Simple Model of Herd Behavior (1992)All That Glitters: The Effect of Attention and News on the Buying Behavior of Individual and Institutional Investors (2007)In Search of Attention (2011)Thirty years of herd behavior in financial markets: A bibliometric analysis (2021)Pandemic-driven financial contagion and investor behavior: Evidence from the COVID-19 (2022)Social media attention and retail investor behavior: Evidence from r/wallstreetbets (2024)A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices (1973)Fractionally integrated generalized autoregressive conditional heteroskedasticity (1996)Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange (2003)Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation (2005)Real-time price discovery in global stock, bond and foreign exchange markets (2007)Differences of Opinion Make a Horse Race (1993)Order Flow and Liquidity around NYSE Trading Halts (2000)Return predictability following large price changes and information releases (2001)Market structure, fragmentation, and market quality (2006)Stock Market Crashes, Precursors and Replicas (1996)Large financial crashes (1997)Critical market crashes (2003)
this work references cited by second hop

References

  • 1993Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency11,575 cited
  • 1997Intraday periodicity and volatility persistence in financial markets1,301 cited
  • 1998Deutsche Mark–Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies1,186 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 Halts178 cited

Cited by

  • 2020Retail investor attention and herding behavior120 cited
  • 2005Price limit performance: evidence from transactions data and the limit order book115 cited
  • 2015Statistical Properties and Pre-Hit Dynamics of Price Limit Hits in the Chinese Stock Markets95 cited
  • 2004What Makes Circuit Breakers Attractive to Financial Markets? A Survey86 cited
  • 2008Sampling Returns for Realized Variance Calculations: Tick Time or Transaction Time?81 cited
  • 2013RECONSIDERING PRICE LIMIT EFFECTIVENESS79 cited

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2005
The current state of Asia-Pacific stock exchanges: A critical review of market design
71 cited
  • 2005The Effectiveness of Price Limits and Stock Characteristics: Evidence from the Shanghai and Shenzhen Stock Exchanges66 cited
  • 2009The magnet effect of price limits: A logit approach65 cited
  • 2010Are price limits really bad for equity markets?65 cited
  • 2007Relative performance of trading halts and price limits: Evidence from the Spanish Stock Exchange57 cited
  • 2007On the Magnet Effect of Price Limits48 cited
  • 2007The effect of price limits on intraday volatility and information asymmetry45 cited
  • 2013Effectiveness, cause and impact of price limit—Evidence from China's cross-listed stocks42 cited
  • 2008Can Price Limits Help When the Price is Falling? Evidence from Transactions Data on the Shanghai Stock Exchange42 cited
  • 2005An Anatomy of the Magnet Effect: Evidence from the Korea Stock Exchange High-Frequency Data42 cited