Reconsidering Price Limit Effectiveness

Kim, Kenneth; Hai-xiao, Liu; Yang, Jie

doi:10.1111/jfir.12021

Cited by 59 publications

(27 citation statements)

References 35 publications

Supporting

Mentioning

Contrasting

Order By: Relevance

“…Volatility declines after days of high volatility (Miller 1989. Our results are consistent with Kim et al (2013), Deb et al (2016) and Wal et al (2018) who show the price limits acts as a mechanism to stabilize markets.…”

Section: Volatility Spillover Hypothesissupporting

confidence: 91%

The Effectiveness of Price Bands on Emerging Markets: Evidence from India

Chaturvedula¹,

Rastogi²

2018

AFR

View full text Add to dashboard Cite

show abstract

Section: Volatility Spillover Hypothesissupporting

confidence: 91%

The Effectiveness of Price Bands on Emerging Markets: Evidence from India

Chaturvedula¹,

Rastogi²

2018

AFR

View full text Add to dashboard Cite

show abstract

“…Many studies reveal negative impact of imposing price limits such as volatility spillover, delayed price discovery, and trading interference (e.g., Kim and Rhee [35]), but recent studies on Chinese stock market have reported positive effects of price limits (Kim et al [36] and Li et al [37]). Our results complement this growing literature by finding no evidence of the magnet effect, which is consistent with Kim et al [36]. For stock markets outside China, the general pattern seems to be that at lower quantiles the influence of volume on current return is significantly negative.…”

Section: Comparison Of Results Of All Marketsmentioning

confidence: 99%

Stock Market Autoregressive Dynamics: A Multinational Comparative Study with Quantile Regression

Leng

Yang

et al. 2016

Mathematical Problems in Engineering

View full text Add to dashboard Cite

We study the nonlinear autoregressive dynamics of stock index returns in seven major advanced economies (G7) and China. The quantile autoregression model (QAR) enables us to investigate the autocorrelation across the whole spectrum of return distribution, which provides more insightful conditional information on multinational stock market dynamics than conventional time series models. The relation between index return and contemporaneous trading volume is also investigated. While prior studies have mixed results on stock market autocorrelations, we find that the dynamics is usually state dependent. The results for G7 stock markets exhibit conspicuous similarities, but they are in manifest contrast to the findings on Chinese stock markets.

show abstract

“…Meanwhile, for Korean, Thai, and Egyptian markets, employing EGARCH and PARCH time‐varying conditional variance models, Farag () finds that widening a tight price limit performs better in reducing volatility and that negative externalities impact volatility more than positive. Similarly, in China, Kim, Liu, and Yang () employ a before–after event study and find that price limits moderately lessen transitory volatility. Using classical event study and regression analysis based on data from 2007 to 2012, Tao, Yingying, and Jingyi () find exaggeration of market volatility in post‐hit periods in Chinese markets leading to volatility spillover.…”

Section: Empirical Workmentioning

confidence: 98%

Circuit breakers as market stability levers: A survey of research, praxis, and challenges

Sifat

Mohamad

2018

Int. J Fin Econ

View full text Add to dashboard Cite

Circuit breaker, an automated regulatory instrument employed to deter panic, temper volatility, and prevent crashes, is controversial in financial markets. Proponents claim it provides a propitious time out when price levels are stressed and persuades traders to make rational trading decisions. Opponents demur its potency, dubbing it a barrier to laissez‐faire price discovery process. Since conceptualization in 1970s and practice from 1980s, researchers focused mostly on its ability to allay panic, interference in trading, volatility transmission, prospect of self‐fulfilling prophecy through gravitational pull towards itself, and delayed dissemination of information. Though financial economists are forked on circuit breakers' usefulness, they are a clear favourite among regulators, who downplay the reliability of anti‐circuit breaker findings citing, inter alia, suspect methodology, and lack of statistical power. In the backdrop of 2007–2008 Crisis and 2010 Flash Crash, the drumbeats for more regulatory intervention in markets grew louder. Hence, it is unlikely that intervening mechanism such as circuit breakers will ebb. But are circuit breakers worth it? This paper synthesizes three decades of theoretical and empirical works, underlines the limitations, issues, and methodological shortcomings undermining findings, attempts to explain regulatory rationale, and provides direction for future research in an increasingly complex market climate.

show abstract

Reconsidering Price Limit Effectiveness

Cited by 59 publications

References 35 publications

The Effectiveness of Price Bands on Emerging Markets: Evidence from India

The Effectiveness of Price Bands on Emerging Markets: Evidence from India

Stock Market Autoregressive Dynamics: A Multinational Comparative Study with Quantile Regression

Circuit breakers as market stability levers: A survey of research, praxis, and challenges

Contact Info

Product

Resources

About