Price discovery and volatility spillover with price limits in Chinese A-shares market: A truncated GARCH approach-Reference-Cited by-同舟云学术

Price discovery and volatility spillover with price limits in Chinese A-shares market: A truncated GARCH approach

Published:2019-01-19 Issue:10 Volume:70 Page:1709-1719
ISSN:0160-5682
Container-title:Journal of the Operational Research Society
language:en
Short-container-title:Journal of the Operational Research Society

Author:

Adcock C. J.¹,Ye C.²,Yin S.²,Zhang D.³

Affiliation:

1. SOAS – University of London, London, UK;

2. The University of Sheffield, Sheffield, UK;

3. University of Leicester, Leicester, UK

Publisher

Informa UK Limited

Subject

Marketing,Management Science and Operations Research,Strategy and Management,Management Information Systems

Link

https://www.tandfonline.com/doi/pdf/10.1080/01605682.2018.1542973

Reference34 articles.

1. The effectiveness of price limits in an emerging market: Evidence from the Korean Stock Exchange

2. ARE PRICE LIMITS EFFECTIVE? EVIDENCE FROM THE ISTANBUL STOCK EXCHANGE

3. Time Series Analysis

4. Brady Commission Report. (1988). Report of the Presidential Task Force on Market Mechanisms. Retrieved February 23, 2013 from http://www.archive.org/stream/reportofpresiden01unit#page/n5/mode/2up

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