EconPapers    
Economics at your fingertips  
 

Price Barriers and the Dynamics of Asset Prices in Equilibrium

Pierluigi Balduzzi, Silverio Foresi and David J. Hait

Journal of Financial and Quantitative Analysis, 1997, vol. 32, issue 02, 137-159

Abstract: A price barrier is a price level at which a large number of investors either buy or sell securities. We analyze the dynamics of asset prices in an economy in which price barriers exist. Our analysis suggests that asset prices and volatility can exhibit jumps when the price barrier is reached. Interestingly, the market's anticipation of future trades can influence prices in the opposite direction from what one might expect. For example, when multiple barriers exist, stock prices can be inflated, rather than depressed, in the proximity of an anticipated stock sale.

Date: 1997
References: Add references at CitEc
Citations: View citations in EconPapers (8) Track citations by RSS feed

Downloads: (external link)
https://journals.cambridge.org/abstract_S0022109000000776 link to article abstract page (text/html)

Related works:
Working Paper: "Price Barriers" and the Dynamics of Asset Prices in Equilibrium (1996)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:cup:jfinqa:v:32:y:1997:i:02:p:137-159_00

Access Statistics for this article

More articles in Journal of Financial and Quantitative Analysis from Cambridge University Press Cambridge University Press, UPH, Shaftesbury Road, Cambridge CB2 8BS UK.
Bibliographic data for series maintained by Keith Waters ().

 
Page updated 2019-09-28
Handle: RePEc:cup:jfinqa:v:32:y:1997:i:02:p:137-159_00