Volatility spillover around price limits in an emerging market

The intraday volatility effects of price-limit hits for stocks in the BIST-50 index during a volatile period are examined. Our evidence supports the volatility no-effect, dampening and spillover hypotheses depending on whether the lower or upper price limit is hit and on when the hit begins and ends...

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Detalles Bibliográficos
Autores principales: Aktas, Osman Ulas, Kryzanowski, Lawrence, Zhang, Jie
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Elsevier Inc. 2021
Materias:
Article
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC7260601/
https://www.ncbi.nlm.nih.gov/pubmed/32837364
http://dx.doi.org/10.1016/j.frl.2020.101610

Internet

https://www.ncbi.nlm.nih.gov/pmc/articles/PMC7260601/
https://www.ncbi.nlm.nih.gov/pubmed/32837364
http://dx.doi.org/10.1016/j.frl.2020.101610

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