Price limits and stock market volatility

Authors
Kim, KA
Citation
Ka. Kim, Price limits and stock market volatility, ECON LETT, 71(1), 2001, pp. 131-136
Citations number
20
Categorie Soggetti
Economics
Journal title
ECONOMICS LETTERS
ISSN journal
01651765 → ACNP
Volume
71
Issue
1
Year of publication
2001
Pages
131 - 136
Database
ISI
SICI code
0165-1765(200104)71:1<131:PLASMV>2.0.ZU;2-U
Abstract
We examine the relationship between price limits and stock market volatilit y. We find when price limits are made more (less) restrictive stock market volatility is usually not lower (higher). This finding contradicts conventi onal wisdom and the view of most regulators. (C) 2001 Elsevier Science B.V. All rights reserved.