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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...
Autores principales: | Aktas, Osman Ulas, Kryzanowski, Lawrence, Zhang, Jie |
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Formato: | Online Artículo Texto |
Lenguaje: | English |
Publicado: |
Elsevier Inc.
2021
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Materias: | |
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 |
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