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 …

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 …

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 …

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 …

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 …

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 …

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 …

Die Organisation von Finanzmärkten hat durch die Einführung des elektronischen
Börsenhandels sowie die Globalisierung in den letzten Jahren einen grundlegenden …

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 …

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 …