300
Views
6
CrossRef citations to date
0
Altmetric
Articles

Effects of a price limit change on market stability at the intraday horizon in the Korean stock market

ORCID Icon & ORCID Icon

References

  • Andersen, T., T. Bollerslev, F. Diebold, and H. Ebens. 2001. “The Distribution of Stock Return Volatility.” Journal of Financial Economics 61: 43–76. doi:10.1016/S0304-405X(01)00055-1.
  • Arak, M., and R. Cook. 1997. “Do Daily Price Limits Act as Magnets? The Case of Treasury Bond Futures.” Journal of Financial Services Research 12: 5–20. doi:10.1023/A:1007955909944.
  • Berkman, H., and J. Lee. 2002. “The Effectiveness of Price Limits in an Emerging Market: Evidence from the Korean Stock Exchange.” Pacific-Basin Finance Journal 10: 517–530. doi:10.1016/S0927-538X(02)00040-9.
  • Bildik, R., and S. Elekdag. 2004. “Effects of Price Limits on Volatility Emerging Markets.” Finance and Trade 40: 5–34.
  • Bildik, R., and G. Gulay. 2006. “Are Price Limits Effective?” Evidence from the Istanbul Stock Exchang Journal of Financial Research 29: 383–403.
  • Chen, H. 1998. “Price Limits, Overreaction, and Price Resolution in Futures Markets.” Journal of Futures Markets 18: 243–263. doi:10.1002/(ISSN)1096-9934.
  • Chen, Y. 1993. “Price Limits and Stock Market Volatility in Taiwan.” Pacific-Basin Finance Journal 1: 139–153. doi:10.1016/0927-538X(93)90005-3.
  • Deb, S., P. Kalev, and V. Marisetty. 2010. Are Price Limits Really Bad for Equity Markets? Journal of Banking & Finance 34: 2462–2471.
  • Fama, E. 1989. “Perspectives on October 1987, Or, What Did We Learn from the Crash?” In Black Monday and the Future of Financial Markets, edited by R. Kamphuis, R. Kormendi, and J. Watson, 71–82. Homewood, IL: Irwin.
  • Kim, K. 2001. “Price Limits and Stock Market Volatility.” Economics Letters 71: 131–136. doi:10.1016/S0165-1765(00)00403-1.
  • Kim, K., and J. Park. 2010. “Why Do Price Limits Exist in Stock Markets? A Manipulation-Based Explanation.” European Financial Management 16: 296–318. doi:10.1111/eufm.2010.16.issue-2.
  • Kim, K., and S. Rhee. 1997. “Price Limit Performance: Evidence from the Tokyo Stock Exchange.” Journal of Finance 52: 885–901. doi:10.1111/j.1540-6261.1997.tb04827.x.
  • Kirilenko, A., A. Kyle, M. Samadi, and T. Tuzun. 2017. “The Flash Crash: High Frequency Trading in an Electronic Market.” Journal of Finance 72: 967–998. doi:10.1111/jofi.12498.
  • Ma, C., R. Rao, and R. Sears. 1989a. “Limit Moves and Price Resolution: The Case of the Treasury Bond Futures.” Journal of Futures Markets 9: 321–335. doi:10.1002/fut.3990090406.
  • Ma, C., R. Rao, and R. Sears. 1989b. “Volatility, Price Resolution, and the Effectiveness of Price Limits.” Journal of Financial Services Research 3: 165–199. doi:10.1007/BF00122800.
  • Malliavin, P., and M. Mancino. 2002. “Fourier Series Method for Measurement of Multivariate Volatilities.” Finance and Stochastics 6: 49–61. doi:10.1007/s780-002-8400-6.
  • Menkveld, A., and B. Yueshen 2016, The Flash Crash: A Cautionary Tale about Highly Fragmented Markets, Working paper, Vrije Universiteit Amsterdam.

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.