Deb, Saikat Sovan; Kalev, Petko S.; Marisetty, Vijaya B. - In: Journal of International Financial Markets, … 24 (2013) C, pp. 66-84
Daily price limits are criticized for their role in disrupting price adjustment process. We propose a flexible price limits mechanism as an alternative to daily price limit rules. First, we identify volatility spill-over and consecutive price limit hits as the source for disrupting informed...