I investigate the effects of imposing different bands of price limits on stock returns and volatility in the Egyptian … limits (NPL) to wider price limits (WPL) structurally alters volatility and the day of the week anomaly. Using the extended … (EGX), Thai (SET) and Korean (KRX) stock exchanges. In addition, the paper examines whether the switch from narrow price …

not price limits generate the negative effects on the market. Through testing the volatility spillover hypothesis, the … significance depends on the level of the price limits. Copyright Springer-Verlag Berlin Heidelberg 2013 …

Daily price limits are criticized for their role in disrupting price adjustment process. We propose a flexible price … limit hits as the source for disrupting informed trading. Later, we propose flexible price limits that can be implemented by … support of flexible price limits’ efficiency by using 5 years intra-day data of stocks listed on the Tokyo Stock Exchange. …

-phase fuzzy regression estimates, is simple and robust. The capital asset pricing model (CAPM), with induction of price limits …

This paper investigates the impact of price limits on the Brazilian futures markets using high frequency data. The aim …

. Given that regulation may involve opportunity costs, this paper examines whether tighter futures price limits can reduce the …

characteristics of R variation series before and after three financial events in China (namely, Price Limits, Reform of Non …

part I show that price limits in the call auction system of the WSE constitute a costly regulation by causing excessive …