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The Dark Side of Circuit Breakers
16 references·2 citing·52 second hop
The Dark Side of Circuit Breakers (2023)The Dark Side of Circuit BreakersDoes realized skewness predict the cross-section of equity returns? (2015)Does realized skewness predic…A Welfare Criterion For Models With Distorted Beliefs* (2014)A Welfare Criterion For Model…The leverage effect puzzle: Disentangling sources of bias at high frequency (2013)The leverage effect puzzle: D…A Tale of Two Time Scales (2005)A Tale of Two Time ScalesOn leverage in a stochastic volatility model (2004)On leverage in a stochastic v…Trading and Returns under Periodic Market Closures (2000)Trading and Returns under Per…Effects of financial innovations on market volatility when beliefs are heterogeneous (1998)Effects of financial innovati…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…Intertemporal Asset Pricing with Heterogeneous Beliefs (1994)Intertemporal Asset Pricing w…Circuit Breakers and Market Volatility: A Theoretical Perspective (1994)Circuit Breakers and Market V…A Model of Competitive Stock Trading Volume (1994)A Model of Competitive Stock …Structure and performance: Global interdependence of stock markets around the crash of October 1987∗ (1990)Structure and performance: Gl…Asset Prices under Habit Formation and Catching up with the Joneses (1990)Asset Prices under Habit Form…The International Crash of October 1987 (1988)The International Crash of Oc…A theory of price limits in futures markets (1986)A theory of price limits in f…Contagion effect of systemic risk among industry sectors in China’s stock market (2021)Contagion effect of systemic …Risks in China’s Financial System (2018)Risks in China’s Financial Sy…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)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)Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)On the Impossibility of Informationally Efficient Markets (1980)Liquidity Risk and Expected Stock Returns (2001)The High‐Volume Return Premium (2001)Liquidity and Asset Prices (2006)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)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)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)Empirical Asset Pricing: The Cross Section of Stock Returns (2016)Do Stocks Outperform Treasury Bills? 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(2018)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)The Distribution of Realized Exchange Rate Volatility (2001)Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models (2002)Realized Variance and Market Microstructure Noise (2006)Jumps in Financial Markets: A New Nonparametric Test and Jump Dynamics (2007)Tails, Fears, and Risk Premia (2011)The Pricing of Options on Assets with Stochastic Volatilities (1987)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)AUTOMATED INFERENCE AND LEARNING IN MODELING FINANCIAL VOLATILITY (2005)Multivariate Stochastic Volatility: A Review (2006)High-Frequency Financial Econometrics (2014)A model of dynamic equilibrium asset pricing with heterogeneous beliefs and extraneous risk (2000)A two-person dynamic equilibrium under ambiguity (2003)Asset pricing with heterogeneous beliefs (2005)Investor Psychology and Asset Pricing (2001)Prospect Theory and Asset Prices (2001)Relative Income, Happiness, and Utility: An Explanation for the Easterlin Paradox and Other Puzzles (2008)
this work references cited by second hop

References

  • 1990Asset Prices under Habit Formation and Catching up with the Joneses2,021 cited
  • 2005A Tale of Two Time Scales1,312 cited
  • 1994A Model of Competitive Stock Trading Volume913 cited
  • 2015Does realized skewness predict the cross-section of equity returns?507 cited
  • 2004On leverage in a stochastic volatility model411 cited
  • 1988The International Crash of October 1987394 cited
  • 1997Price Limit Performance: Evidence from the Tokyo Stock Exchange377 cited
  • 1994Intertemporal Asset Pricing with Heterogeneous Beliefs361 cited
  • 1994Circuit Breakers and Market Volatility: A Theoretical Perspective259 cited
  • 1986A theory of price limits in futures markets211 cited
  • 1994Volume, Volatility, and New York Stock Exchange Trading Halts208 cited
  • 2013The leverage effect puzzle: Disentangling sources of bias at high frequency205 cited
  • 2014A Welfare Criterion For Models With Distorted Beliefs*198 cited
  • 1990Structure and performance: Global interdependence of stock markets around the crash of October 1987∗195 cited
  • 1998Effects of financial innovations on market volatility when beliefs are heterogeneous191 cited

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  • 2000Trading and Returns under Periodic Market Closures190 cited
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    • 2018Risks in China’s Financial System39 cited
    • 2021Contagion effect of systemic risk among industry sectors in China’s stock market30 cited