Price limits and volatility

Deb, Saikat Sovan, Kalev, Petko S. and Marisetty, Vijaya B. 2017, Price limits and volatility, Pacific-Basin finance journal, vol. 45, pp. 142-156, doi: 10.1016/j.pacfin.2016.12.002.

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Title Price limits and volatility
Author(s) Deb, Saikat SovanORCID iD for Deb, Saikat Sovan
Kalev, Petko S.
Marisetty, Vijaya B.
Journal name Pacific-Basin finance journal
Volume number 45
Start page 142
End page 156
Total pages 15
Publisher Elsevier
Place of publication Amsterdam, The Netherlands
Publication date 2017-10
ISSN 0927-538X
Keyword(s) price limit rules
permanent and transitory volatility
post limit hit day
propensity score matching
volatility spill over
Language eng
DOI 10.1016/j.pacfin.2016.12.002
Field of Research 150201 Finance
1502 Banking, Finance And Investment
1501 Accounting, Auditing And Accountability
Socio Economic Objective 900101 Finance Services
HERDC Research category C1 Refereed article in a scholarly journal
ERA Research output type C Journal article
Copyright notice ©2016, Elsevier
Persistent URL

Document type: Journal Article
Collections: Faculty of Business and Law
Department of Finance
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