Setting the futures margin with price limits: the case for single-stock futures
Sign Up to like & getrecommendations! Published in 2017 at "Review of Quantitative Finance and Accounting"
DOI: 10.1007/s11156-015-0548-7
Abstract: Price limits are artificial boundaries established by regulators to establish the maximum price movement permitted in a single day. We propose using a new censoring method that incorporates the effect of price limits on the… read more here.
Keywords: price limits; stock futures; setting futures; single stock ... See more keywords
Do regulations work? A comprehensive analysis of price limits and trading restrictions in experimental asset markets with deterministic and stochastic fundamental values
Sign Up to like & getrecommendations! Published in 2020 at "Journal of Economic Behavior and Organization"
DOI: 10.1016/j.jebo.2020.07.012
Abstract: Abstract We examine how traders react to two prominent stock market regulations. Under a constant fundamental value (FV) process, price limits and trading restrictions significantly reduce the price level and mispricing size when traders are… read more here.
Keywords: price limits; regulations work; trading restrictions; price ... See more keywords
The Effect of Extremely Small Price Limits: Evidence from the Early Period of the Chinese Stock Market
Sign Up to like & getrecommendations! Published in 2019 at "Emerging Markets Finance and Trade"
DOI: 10.1080/1540496x.2018.1559141
Abstract: ABSTRACT This article studies the effect of the extremely small price limits on market quotation with an agent-based model. Considering the early government intervention in the Chinese stock market as a natural experiment, we provide… read more here.
Keywords: extremely small; price limits; price; small price ... See more keywords