Trading aggression when price limit hits are imminent: NARDL based intraday investigation of magnet effect
Utilizing an experimental Non-linear ARDL technique (NARDL), this paper tests an ex-ante hypothesized side-effect of financial market circuit breakers called the magnet effect. The hypothesis states that, in large price swing scenarios, circuit breakers (limits or halts), by their very existence, in...
| Main Authors: | , |
|---|---|
| Format: | Article |
| Language: | English English English |
| Published: |
Elsevier
2018
|
| Subjects: | |
| Online Access: | http://irep.iium.edu.my/67778/ http://irep.iium.edu.my/67778/ http://irep.iium.edu.my/67778/ http://irep.iium.edu.my/67778/1/JBEF%20RnR%20NARDL%20Magnet%20Intraday.pdf http://irep.iium.edu.my/67778/12/67778_Trading%20aggression%20when%20price%20limit%20hits%20are%20imminent%20SCOPUS.pdf http://irep.iium.edu.my/67778/17/67778%20Trading%20aggression%20when%20price%20limit%20hits%20are%20imminent%20WOS.pdf |
Internet
http://irep.iium.edu.my/67778/http://irep.iium.edu.my/67778/
http://irep.iium.edu.my/67778/
http://irep.iium.edu.my/67778/1/JBEF%20RnR%20NARDL%20Magnet%20Intraday.pdf
http://irep.iium.edu.my/67778/12/67778_Trading%20aggression%20when%20price%20limit%20hits%20are%20imminent%20SCOPUS.pdf
http://irep.iium.edu.my/67778/17/67778%20Trading%20aggression%20when%20price%20limit%20hits%20are%20imminent%20WOS.pdf