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Tekijä: | Veld-Merkoulova, Y.V. |
Otsikko: | Price limits in futures markets: effects on the price discovery process and volatility |
Lehti: | International Review of Financial Analysis
2003 : VOL. 12:3, p. 311-328 |
Asiasana: | Agricultural industry Futures markets Price policy Volatility |
Kieli: | eng |
Tiivistelmä: | This paper aims at investigating whether price limits achieve the goal of being a regulatory mechanism directed at reducing volatility and improving price discovery process without affecting market liquidity for a number of agricultural futures contracts. Models of chaning volatility are employed in order to show that price limits do not appear to significantly reduce market volatility. |
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