ARE PRICE LIMITS EFFECTIVE? EVIDENCE FROM THE ISTANBUL STOCK EXCHANGE

Autor:	Guzhan Gulay, Recep Bildik
Rok vydání:	2006
Předmět:	TheoryofComputation_MISCELLANEOUS Volume-weighted average price Cost price Financial economics Mid price TheoryofComputation_GENERAL Price discovery Market depth Accounting Economics Stock market Price level Finance Limit price
Zdroj:	Journal of Financial Research. 29:383-403
ISSN:	1475-6803 0270-2592
DOI:	10.1111/j.1475-6803.2006.00185.x
Popis:	There is considerable discussion about controlling volatility by imposing price limits on asset prices. We examine the effects of price limits on a stock market by testing the volatility spillover, delayed price discovery, and trading interference hypotheses in a leading emerging market, the Istanbul Stock Exchange, which has a unique market microstructure as related to price limits. Our results support the volatility spillover, delayed price discovery, and trading interference hypotheses. We also show price locks at limits provide significantly stronger evidence regarding the effects of price limits than limit moves only. Finally, price limits have a significant effect on the stock market, casting doubt on their effectiveness.
Databáze:	OpenAIRE
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