Dutta, Prajit K.; Madhavan, Ananth - In: Journal of Financial and Quantitative Analysis 30 (1995) 02, pp. 199-221
Restrictions on transaction price changes are a feature of many security markets. This paper analyzes the impact of such price continuity rules on price dynamics and examines possible rationales for their existence. Contrary to popular belief, continuity rules need not reduce price efficiency,...