Rational price limits in futures markets: tests of a simple optimizing model
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DOI: 10.1016/1058-3300(94)90008-6
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- Ackert, Lucy F. & Hunter, William C., 1994. "Rational price limits in futures markets: tests of a simple optimizing model," Review of Financial Economics, Elsevier, vol. 4(1), pages 93-108.
References listed on IDEAS
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Cited by:
- Yong H. Kim & J. Jimmy Yang, 2004. "What Makes Circuit Breakers Attractive to Financial Markets? A Survey," Financial Markets, Institutions & Instruments, John Wiley & Sons, vol. 13(3), pages 109-146, August.
- Shanker, Latha & Balakrishnan, Narayanaswamy, 2005. "Optimal clearing margin, capital and price limits for futures clearinghouses," Journal of Banking & Finance, Elsevier, vol. 29(7), pages 1611-1630, July.
- Levy, Tamir & Qadan, Mahmod & Yagil, Joseph, 2013. "Predicting the limit-hit frequency in futures contracts," International Review of Financial Analysis, Elsevier, vol. 30(C), pages 141-148.
- Tang, Siyuan, 2023. "Price limit performance: New evidence from a quasi-natural experiment in China's ChiNext market," International Review of Financial Analysis, Elsevier, vol. 89(C).
- Zhang, Xiaotao & Wang, Ziqiao & Hao, Jing & He, Feng, 2022. "Price limit and stock market quality: Evidence from a quasi-natural experiment in the Chinese stock market," Pacific-Basin Finance Journal, Elsevier, vol. 74(C).
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