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
TypeCommunication / Conférence
External document linkhttp://dx.doi.org/10.2139/ssrn.2139657
Conference title62nd Annual Meeting of the Midwest Finance Association - MFA 2013 Annual Meeting
Conference countryUnited States
MetadataShow full item record
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 / Keywordstrading suspension; price limit; high frequency data; volume; volatility
Showing items related by title and author.
Quelle est l'influence des interruptions de cotation sur la microstructure du marché boursier français ? Une analyse intraquotidienne en termes de rentabilité, volatilité et volume Michalon, Karine (2004) Communication / Conférence