|Appears in Collections:||Accounting and Finance Journal Articles|
|Peer Review Status:||Refereed|
|Title:||Price limits in futures markets: Effects on the price discovery process and volatility|
|Author(s):||Veld-Merkoulova, Yulia V|
|Citation:||Veld-Merkoulova YV (2003) Price limits in futures markets: Effects on the price discovery process and volatility. International Review of Financial Analysis, 12 (3), pp. 311-328. https://doi.org/10.1016/S1057-5219%2803%2900009-7|
|Abstract:||Price limits are actively employed by many futures exchanges as a regulatory mechanism directed at reducing volatility and improving price discovery process. The aim of this paper is to investigate whether price limits achieve these goals without affecting market liquidity for a number of agricultural futures contracts. We employ models of changing volatility in order to show that price limits do not appear to significantly reduce market volatility. In addition, we find evidence confirming the hypothesis that price limits delay price discovery instead of facilitating it. Our results also suggest that the impact of price limits on volatility and price reversals, found in previous studies, are mainly due to the properties inherent to the futures returns, such as volatility clustering. Finally, although trading decreases significantly due to the price limits, traders do not seem to switch from the contracts affected by price limits to other maturities in order to minimize the impact of circuit breakers.|
|Rights:||The publisher does not allow this work to be made publicly available in this Repository. Please use the Request a Copy feature at the foot of the Repository record to request a copy directly from the author. You can only request a copy if you wish to use this work for your own research or private study.|
|Veld-Merkoulova_2003_Price_limits_in_futures_markets.pdf||Fulltext - Published Version||162.17 kB||Adobe PDF||Under Embargo until 3000-12-01 Request a copy|
Note: If any of the files in this item are currently embargoed, you can request a copy directly from the author by clicking the padlock icon above. However, this facility is dependent on the depositor still being contactable at their original email address.
This item is protected by original copyright
Items in the Repository are protected by copyright, with all rights reserved, unless otherwise indicated.
The metadata of the records in the Repository are available under the CC0 public domain dedication: No Rights Reserved https://creativecommons.org/publicdomain/zero/1.0/
If you believe that any material held in STORRE infringes copyright, please contact firstname.lastname@example.org providing details and we will remove the Work from public display in STORRE and investigate your claim.