Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
9725840 | International Review of Economics & Finance | 2005 | 15 Pages |
Abstract
We empirically investigate the impact of price limits on volatility and autocorrelation in the call auction segment of the Warsaw Stock Exchange (WSE). Because call auctions offer time-out periods to investors, we do not expect price limits to counter overreaction and panic in this market structure. Indeed, our empirical findings show that price limits result in excess volatility on the next trading day and strong continuation of price movements, which indicates that price limits only delay the adjustment of prices to equilibrium levels. Our results question the necessity of price limits in the call auction system of the WSE.
Related Topics
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Economics and Econometrics
Authors
Harald Henke, Svitlana Voronkova,