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Single stock circuit breakers on the London Stock Exchange : do they improve subsequent market quality?

Brugler, James; Linton, Oliver - 2014

This paper uses proprietary data to evaluate the efficacy of single-stock circuit breakers on the London Stock Exchange during July and August 2011. We exploit exogenous variation in the length of the uncrossing periods that follow a trading suspension to estimate the effect of auction length on...

Persistent link: https://www.econbiz.de/10010245302

A microstructure study of circuit breakers in the Chinese stock markets

Wang, Steven Shuye; Xu, Kuan; Zhang, Hao - In: Pacific-Basin finance journal 57 (2019), pp. 1-29

Persistent link: https://www.econbiz.de/10012170342

Passive investors and concentration of intraday liquidity : evidence from the Tokyo Stock Exchange

Kitajima, Kiichi - In: Pacific-Basin finance journal 74 (2022), pp. 1-19

Persistent link: https://www.econbiz.de/10013389468

Circuit breakers, trading collars, and volatility transmission across markets : evidence from NYSE Rule 80A

Goldstein, Michael A. - In: The financial review : the official publication of the … 50 (2015) 3, pp. 459-479

Persistent link: https://www.econbiz.de/10011338148

Financial management focus on price volatility and "circuit breakers" in the Nigerian equity market implications for monetary policy

Ohuche, Friday K.; Ikoku, Alavan E. - In: Journal of financial management and analysis : … 27 (2014) 2, pp. 1-19

Persistent link: https://www.econbiz.de/10011300482

The effectiveness of competing regulatory regimes and the switching effects : evidence from an emerging market

Farag, Hisham - In: Global finance journal 25 (2014) 2, pp. 136-147

Persistent link: https://www.econbiz.de/10010400979

Heterogeneous speculators and stock market dynamics : a simple agent-based computational model

Schmitt, Noemi; Schwartz, Ivonne; Westerhoff, Frank H. - 2020

crashes, excess volatility, serially uncorrelated returns, fat-tailed return distributions and volatility clustering, thereby … regimes with high volatility originate from the fact that speculators extract stronger trading signals out of past stock price …