Kedar-Levy, Haim; Yu, Xiaoyan; Kamesaka, Akiko; … - In: Journal of Financial Transformation 30 (2010), pp. 133-139
We compare changes of mean and variance of returns as two regulations have changed between 1992 and 2007 in the Chinese exchanges of Shanghai and Shenzhen. Specifically, we compare the implementation of a ±10% daily return limit vs. the absence of any limit, and the effect of allowing local and...