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dc.contributor.authorMichalon, Karine*
dc.date.accessioned2014-04-14T15:36:10Z
dc.date.available2014-04-14T15:36:10Z
dc.date.issued2013-03
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/13101
dc.language.isoenen
dc.subjecttrading suspensionen
dc.subjectprice limiten
dc.subjecthigh frequency dataen
dc.subjectvolumeen
dc.subjectvolatilityen
dc.subject.ddc332en
dc.subject.classificationjelC.C2.C20en
dc.subject.classificationjelG.G1.G10en
dc.subject.classificationjelG.G1.G14en
dc.titleHow Do Price Limits Influence French Market Microstructure? A High Frequency Data Analysis in Terms of Return, Volatility and Volumeen
dc.typeCommunication / Conférence
dc.description.abstractenThe purpose of the regulated halts on stock exchange markets is to spread the information on the market and to protect the interests of the small shareholders. The aim of this work is to empirically investigate the price limits on the French stock exchange market. We analyze the impact of such halts on the main market factors: return, volatility and volume. Our study concerns intraday data relating to securities that belong to the CAC40 stock index over the period January 1998-December 2001. Finally, we put forward a mitigated effectiveness of the price limits, depending on the period.en
dc.identifier.citationpages54 p.en
dc.identifier.urlsitehttp://dx.doi.org/10.2139/ssrn.2139657en
dc.subject.ddclabelEconomie financièreen
dc.relation.conftitle62nd Annual Meeting of the Midwest Finance Association - MFA 2013 Annual Meetingen
dc.relation.confdate2013-03
dc.relation.confcityChicagoen
dc.relation.confcountryUnited Statesen
dc.relation.forthcomingnonen
dc.description.halcandidateoui
dc.description.readershiprecherche
dc.description.audienceInternational
dc.relation.Isversionofjnlpeerreviewedoui
hal.person.labIds1032*
hal.identifierhal-01505381*


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