Author : Harald Henke
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (129 download)
Book Synopsis Price Limits on a Call Auction Market by : Harald Henke
Download or read book Price Limits on a Call Auction Market written by Harald Henke and published by . This book was released on 2009 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: We empirically investigate the impact of price limits on volatility and autocorrelation in the call auction segment of the Warsaw Stock Exchange (WSE). Since 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.