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PubMed Publications| Keyword search (4,163 papers available) |  |
"ITS" Keyword-tagged Publications:
| Title: | Volatility spillover around price limits in an emerging market | ||||
| Authors: | Aktas OU, Kryzanowski L, Zhang J | ||||
| Link: | https://pubmed.ncbi.nlm.nih.gov/32837364/ | ||||
| DOI: | 10.1016/j.frl.2020.101610 | ||||
| Publication: | Finance research letters | ||||
| Keywords: | Cross-listed; Emerging stock market; Price limits; Same-day news; Volatility spillover; | ||||
| PMID: | 32837364 | Category: | Date Added: | 2020-08-25 | |
| Dept Affiliation: |
JMSB
1 Department of Finance, Operations & Information Systems, Goodman School of Business, Brock University, St. Catharines L2S 3A1, ON, Canada. 2 John Molson School of Business, Concordia University, Montreal H3G 1M8, QC, Canada. 3 Trent School of Business, Trent University, 1600 West Bank Drive, Peterborough, K9L 0G2, ON, Canada. |
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Description: |
The intraday volatility effects of price-limit hits for stocks in the BIST-50 index during a volatile period are examined. Our evidence supports the volatility no-effect, dampening and spillover hypotheses depending on whether the lower or upper price limit is hit and on when the hit begins and ends. Post-hit volatilities tend to be lower for limit hits near the beginning of the first trading session, unchanged for those that transcend a trading session and for upper price-limit hits near the end of either trading session, and higher for lower price-limit hits near the end of either trading session. These results are robust using samples differentiated by cross-listed status, same-day news, equi-distant and trade-by-trade returns and volatility measures accounting for return-series autocorrelations. Our findings have implications for emerging markets planning to impose price-limit bands or to increase their efficacy. |
