Flexible price limits: The case of Tokyo Stock Exchange

dc.contributor.author	Deb, Saikat Sovan
dc.contributor.author	Kalev, Petko S.
dc.contributor.author	Marisetty, Vijaya B.
dc.date.accessioned	2022-03-27T02:12:21Z
dc.date.available	2022-03-27T02:12:21Z
dc.date.issued	2013-04-01
dc.description.abstract	Daily price limits are criticized for their role in disrupting price adjustment process. We propose a flexible price limits mechanism as an alternative to daily price limit rules. First, we identify volatility spill-over and consecutive price limit hits as the source for disrupting informed trading. Later, we propose flexible price limits that can be implemented by using predicted probability of volatility spill-over and consecutive price limit hits. We provide empirical evidence in support of flexible price limits' efficiency by using 5 years intra-day data of stocks listed on the Tokyo Stock Exchange. © 2012.
dc.identifier.citation	Journal of International Financial Markets, Institutions and Money. v.24(1)
dc.identifier.issn	10424431
dc.identifier.uri	10.1016/j.intfin.2012.11.002
dc.identifier.uri	https://www.sciencedirect.com/science/article/abs/pii/S104244311200100X
dc.identifier.uri	https://dspace.uohyd.ac.in/handle/1/4972
dc.subject	Consecutive price limit hit
dc.subject	Daily price limits
dc.subject	Volatility spill-over
dc.title	Flexible price limits: The case of Tokyo Stock Exchange
dc.type	Journal. Article
dspace.entity.type

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