Stocks in the Shanghai market that hit upper price limits typically exhibit three
characteristics: high returns, high volumes, and news coverage. We show that these price …

Price limit advocates claim that price limits decrease stock price volatility, counter
overreaction, and do not interfere with trading activity. Conversely, price limit critics claim …

This article investigates the behaviour of intraday trades and quotes for individual stocks on
the Tokyo Stock Exchange (TSE). We examine the transaction and quote record for three …

This paper analyzes the components of the bid–ask spread in the limit-order book of the
Tokyo Stock Exchange (TSE). While the behavior of spread components in US markets has …

Unique insights into how the mind of an investor operates and how developing emotional
awareness leads to long-term success Inside the Investor's Brain provides readers with …

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 …

Given the unique institutional setting in the Chinese stock market, we investigate the effect of
analyst activity on the idiosyncratic volatility (IVOL) anomaly. Our results show that the …

We use the American Stock Exchange's May 1997 market-wide adoption of $1/16 ticks to
examine several hypotheses relating to tick size reduction. Specifically, we consider …

Despite widely documented criticisms, price-limit rules are present in many equity markets
around the world. Using a game-theoretic model, we argue that, if the cost of monitoring a …

This study contrasts the call and continuous auction methods using Taiwan Stock Exchange
data. Volatility under the call market method is approximately one‐half of that under the …