Price limits and stock market volatility

Economics LettersPublished 1 April 2001

Kenneth A. Kim

DOI10.1016/s0165-1765(00)00403-1

Source URL

Citations107

SJR quartileQ2

SJR score0.76

SNIP0.98

Abstract

We examine the relationship between price limits and stock market volatility. We find when price limits are made more (less) restrictive stock market volatility is usually not lower (higher). This finding contradicts conventional wisdom and the view of most regulators.

Keywords

Economics, Econometrics and Finance