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: | , |
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| Format: | Article |
| Language: | English English English |
| Published: |
Elsevier
2018
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| 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 |