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The impact of price limits on foreign currency futures' price volatility and market efficiency

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  • Chen, Chao
  • Jeng, Jau-Lian

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  • Chen, Chao & Jeng, Jau-Lian, 1996. "The impact of price limits on foreign currency futures' price volatility and market efficiency," Global Finance Journal, Elsevier, vol. 7(1), pages 13-25.
    • Handle: RePEc:eee:glofin:v:7:y:1996:i:1:p:13-25
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    1. Debra Glassman, 1987. "The efficiency of foreign exchange futures markets in turbulent and non‐turbulent periods," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 7(3), pages 245-267, June.
    2. Brennan, Michael J., 1986. "A theory of price limits in futures markets," Journal of Financial Economics, Elsevier, vol. 16(2), pages 213-233, June.
    3. Schwert, G William & Seguin, Paul J, 1990. "Heteroskedasticity in Stock Returns," Journal of Finance, American Finance Association, vol. 45(4), pages 1129-1155, September.
    4. Schwert, C.W., 1989. "Margin Requirements And Stock Volatility," Papers t6, Columbia - Center for Futures Markets.
    5. Kupiec, Paul H & Sharpe, Steven A, 1991. "Animal Spirits, Margin Requirements, and Stock Price Volatility," Journal of Finance, American Finance Association, vol. 46(2), pages 717-731, June.
    6. G. Wenchi Kao & Christopher K. Ma, 1992. "Memories, heteroscedasticity, and price limit in Currency futures markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 12(6), pages 679-692, December.
    7. Bollerslev, Tim, 1986. "Generalized autoregressive conditional heteroskedasticity," Journal of Econometrics, Elsevier, vol. 31(3), pages 307-327, April.
    8. Kodres, Laura E, 1993. "Tests of Unbiasedness in the Foreign Exchange Futures Markets: An Examination of Price Limits and Conditional Heteroscedasticity," The Journal of Business, University of Chicago Press, vol. 66(3), pages 464-490, July.
    9. Newey, Whitney & West, Kenneth, 2014. "A simple, positive semi-definite, heteroscedasticity and autocorrelation consistent covariance matrix," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 33(1), pages 125-132.
    10. Roll, R., 1989. "Price Volatility, International Market Links, And Their Implications For Regulatory Policies," Papers t10, Columbia - Center for Futures Markets.
    11. Raymond P. H. Fishe & Lawrence G. Goldberg & Thomas F. Gosnell & Sujata Sinha, 1990. "Margin requirements in futures markets: Their relationship to price volatility," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 10(5), pages 541-554, October.
    12. Hsieh, David A & Miller, Merton H, 1990. "Margin Regulation and Stock Market Volatility," Journal of Finance, American Finance Association, vol. 45(1), pages 3-29, March.
    13. Christopher K. Ma & Ramesh P. Rao & R. Stephen Sears, 1989. "Limit moves and price resolution: The case of the treasury bond futures market," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 9(4), pages 321-335, August.
    14. Wooldridge, Jeffrey M., 1991. "On the application of robust, regression- based diagnostics to models of conditional means and conditional variances," Journal of Econometrics, Elsevier, vol. 47(1), pages 5-46, January.
    15. W. L. Randolph & Mohammad Najand, 1991. "A test of two models in forecasting stock index futures price volatility," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 11(2), pages 179-190, April.
    16. Goldenberg, David H., 1988. "Trading Frictions and Futures Price Movements," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 23(4), pages 465-481, December.
    17. Donaldson, R. Glen & Kim, Harold Y., 1993. "Price Barriers in the Dow Jones Industrial Average," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 28(3), pages 313-330, September.
    18. Salinger, M.A., 1989. "Stock Market Margin Requirements And Volatility: Implications For Regulation Of Stock Index Futures," Papers t4, Columbia - Center for Futures Markets.
    19. Bollerslev, Tim, 1987. "A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return," The Review of Economics and Statistics, MIT Press, vol. 69(3), pages 542-547, August.
    20. Bollerslev, Tim & Domowitz, Ian, 1993. "Trading Patterns and Prices in the Interbank Foreign Exchange Market," Journal of Finance, American Finance Association, vol. 48(4), pages 1421-1443, September.
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