The Effects Of Price Limits In Futures Markets PDF Download
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Author | : Gabriel Blair Fontinelle |
Publisher | : |
Total Pages | : |
Release | : 2020 |
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Download Ex-ante and Ex-post Effects of Price Limits in Commodity Futures Markets Book in PDF, ePub and Kindle
After October 1987, financial crisis, market regulators created dispositive called circuit breaks to contain high levels of volatility. As a type of circuit breaker, price limits were adopted not only on stock markets but in commodity futures contracts as well, however, its effects are not clear. The present study aimed to evaluate price limit ex-ante effects on the four major wheat futures markets by adopting Brogaard and Roshak (2015) methodology by estimating the probability of extreme movements and limit moves conditional to extreme movements and its ex-post effects on trading activity by contrasting the volume curve on limit days with a counterfactual volume curve that simulates a scenario where price limits were not hit. The results show that tighter limit levels decrease the probability of extreme movements by approximately 0.008% having an overall (four markets included) baseline probability of extreme moves equals 1.11% which agrees with the Holding Back hypothesis assuming extreme movements as a proxy for volatility. On the other hand, the probability of limit moves conditional to extreme movements increases when limit levels are tighter by approximately 0.066% with an overall baseline of 0.05% which supports the "Magnet" hypothesis. Regarding the ex-post effects, longer periods where prices stay at the limit level result in trading activity lost, however, if prices return to limit range but bounce back to a limit lock, the longer the gap between limit locks trading session experience an increase in trading activity. Moreover, the ex-post effects on trading activity are more intense in Chicago relative to Kansas City because Chicago presents a higher trading volume on average.
Author | : Haiwei Chen |
Publisher | : |
Total Pages | : 0 |
Release | : 1998 |
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Download The Effects of Price Limits in Futures Markets Book in PDF, ePub and Kindle
Author | : Yongzhong Zhu |
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Total Pages | : |
Release | : 2006 |
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Download Test of the Overreaction Theory of Price Limits in Futures Markets Book in PDF, ePub and Kindle
Author | : J. Douglas Gordon |
Publisher | : |
Total Pages | : 42 |
Release | : 1989 |
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Download An Analysis of the Effect of Price Limits on Price Movements in Selected Commodity Futures Markets Book in PDF, ePub and Kindle
Author | : Joan Evans |
Publisher | : |
Total Pages | : 6 |
Release | : 2007 |
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Download The Effects of Price Limits on Trading Volume Book in PDF, ePub and Kindle
Will trading volume shift from a market with price limits to a closely related market without them? An examination of the U.S. cotton market reveals that trading volume does in fact move from a class of security that is subject to trading limits (cotton futures) to another that is not (options on cotton futures). The results add to the debate on trading limits by calling into question the limits' overall effectiveness.
Author | : Yulia Veld-Merkoulova |
Publisher | : |
Total Pages | : 32 |
Release | : 2000 |
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Download Price Limits in Futures Markets Book in PDF, ePub and Kindle
Author | : Michael Joseph Brennan |
Publisher | : |
Total Pages | : 52 |
Release | : 1984 |
Genre | : Commodity exchanges |
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Download A Theory of Price Limits in Futures Markets Book in PDF, ePub and Kindle
Author | : Franklin R. Edwards |
Publisher | : Springer Science & Business Media |
Total Pages | : 201 |
Release | : 2012-12-06 |
Genre | : Business & Economics |
ISBN | : 9400921934 |
Download Regulatory Reform of Stock and Futures Markets Book in PDF, ePub and Kindle
Author | : Thomas A. Hieronymus |
Publisher | : |
Total Pages | : 358 |
Release | : 1972 |
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Download Economics of Futures Trading Book in PDF, ePub and Kindle
Author | : 胡星陽 |
Publisher | : |
Total Pages | : |
Release | : 1996 |
Genre | : |
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Download Effects of Price Limits on Returns and Volumes of Futures Contracts Book in PDF, ePub and Kindle