[图书][B] Stock index futures
CMS Sutcliffe - 2018 - taylorfrancis.com
The global value of trading in index futures is about $20 trillion per year and rising and for
many countries the value traded is similar to that traded on their stock markets. This book …
many countries the value traded is similar to that traded on their stock markets. This book …
What makes circuit breakers attractive to financial markets? A survey
After the stock market crash of October 1987, the Brady Report (1988) and several academic
researchers suggested the imposition of “circuit breakers” to prevent the market from …
researchers suggested the imposition of “circuit breakers” to prevent the market from …
Examining the effectiveness of price limits in an artificial stock market
CH Yeh, CY Yang - Journal of Economic Dynamics and Control, 2010 - Elsevier
This paper proposes an agent-based framework to examine the effectiveness of price limits
in an artificial stock market. The market is composed of many boundedly rational and …
in an artificial stock market. The market is composed of many boundedly rational and …
Price limits on a call auction market: Evidence from the Warsaw Stock Exchange
H Henke, S Voronkova - International Review of Economics & Finance, 2005 - Elsevier
We empirically investigate the impact of price limits on volatility and autocorrelation in the
call auction segment of the Warsaw Stock Exchange (WSE). Because call auctions offer time …
call auction segment of the Warsaw Stock Exchange (WSE). Because call auctions offer time …
Volatility spillover around price limits in an emerging market
OU Aktas, L Kryzanowski, J Zhang - Finance research letters, 2021 - Elsevier
The intraday volatility effects of price-limit hits for stocks in the BIST-50 index during a
volatile period are examined. Our evidence supports the volatility no-effect, dampening and …
volatile period are examined. Our evidence supports the volatility no-effect, dampening and …
Optimal clearing margin, capital and price limits for futures clearinghouses
L Shanker, N Balakrishnan - Journal of banking & finance, 2005 - Elsevier
We provide a model for a futures clearinghouse to use for setting optimal levels of clearing
margin, capital and price limits, which minimizes the costs to clearing firms and …
margin, capital and price limits, which minimizes the costs to clearing firms and …
Price limit and volatility in Taiwan stock exchange: Some additional evidence from the extreme value approach
AI Maghyereh, HA Al Zoubi… - Review of Pacific Basin …, 2007 - World Scientific
We reexamine the effects of price limits on stock volatility of Taiwan Stock Exchange using a
new methodology based on the Extreme-Value technique. Consistent with the advocates of …
new methodology based on the Extreme-Value technique. Consistent with the advocates of …
[图书][B] Elektronischer Börsenhandel und globale Märkte: eine ökonomische Analyse der Veränderungen an Terminbörsen
T Book - 2013 - books.google.com
Die Organisation von Finanzmärkten hat durch die Einführung des elektronischen
Börsenhandels sowie die Globalisierung in den letzten Jahren einen grundlegenden …
Börsenhandels sowie die Globalisierung in den letzten Jahren einen grundlegenden …
Price limits and margin requirements in futures markets
H Chen - Financial Review, 2002 - Wiley Online Library
This paper investigates the hypothesis that futures exchanges could use daily price limits as
a substitute for higher margin requirements. The empirical results show that the size of …
a substitute for higher margin requirements. The empirical results show that the size of …
Study on market stability and price limit of Chinese stock index futures market: an agent-based modeling perspective
X Xiong, D Nan, Y Yang, Z Yongjie - PLoS one, 2015 - journals.plos.org
This paper explores a method of managing the risk of the stock index futures market and the
cross-market through analyzing the effectiveness of price limits on the Chinese Stock Index …
cross-market through analyzing the effectiveness of price limits on the Chinese Stock Index …