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How Do Price Limits Influence French Market Microstructure? A High Frequency Data Analysis in Terms of Return, Volatility and Volume

Michalon, Karine (2013-03), How Do Price Limits Influence French Market Microstructure? A High Frequency Data Analysis in Terms of Return, Volatility and Volume, 62nd Annual Meeting of the Midwest Finance Association - MFA 2013 Annual Meeting, 2013-03, Chicago, United States

Type
Communication / Conférence
External document link
http://dx.doi.org/10.2139/ssrn.2139657
Date
2013-03
Conference title
62nd Annual Meeting of the Midwest Finance Association - MFA 2013 Annual Meeting
Conference date
2013-03
Conference city
Chicago
Conference country
United States
Pages
54 p.
Metadata
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Author(s)
Michalon, Karine
Dauphine Recherches en Management [DRM]
Abstract (EN)
The purpose of the regulated halts on stock exchange markets is to spread the information on the market and to protect the interests of the small shareholders. The aim of this work is to empirically investigate the price limits on the French stock exchange market. We analyze the impact of such halts on the main market factors: return, volatility and volume. Our study concerns intraday data relating to securities that belong to the CAC40 stock index over the period January 1998-December 2001. Finally, we put forward a mitigated effectiveness of the price limits, depending on the period.
Subjects / Keywords
trading suspension; price limit; high frequency data; volume; volatility
JEL
C20 - General
G10 - General
G14 - Information and Market Efficiency; Event Studies; Insider Trading

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