Deb, Saikat Sovan; Kalev, Petko S.; Marisetty, Vijaya B. - In: Journal of Banking & Finance 34 (2010) 10, pp. 2462-2471
Despite widely documented criticisms, price-limit rules are present in many equity markets around the world. Using a game-theoretic model, we argue that, if the cost of monitoring a market is high, price-limit rules are beneficial. Empirical tests based on a cross section of 43 equity markets...