Volatility spillover around price limits in an emerging market

Osman Ulas Aktas, Lawrence Kryzanowski and Jie Zhang

Finance Research Letters, 2021, vol. 39, issue C

Abstract: The intraday volatility effects of price-limit hits for stocks in the BIST-50 index during a volatile period are examined. Our evidence supports the volatility no-effect, dampening and spillover hypotheses depending on whether the lower or upper price limit is hit and on when the hit begins and ends. Post-hit volatilities tend to be lower for limit hits near the beginning of the first trading session, unchanged for those that transcend a trading session and for upper price-limit hits near the end of either trading session, and higher for lower price-limit hits near the end of either trading session. These results are robust using samples differentiated by cross-listed status, same-day news, equi-distant and trade-by-trade returns and volatility measures accounting for return-series autocorrelations. Our findings have implications for emerging markets planning to impose price-limit bands or to increase their efficacy.

Keywords: Price limits; Volatility spillover; Emerging stock market; Cross-listed; Same-day news (search for similar items in EconPapers)
JEL-codes: G01 G10 G14 G15 G18 G19 (search for similar items in EconPapers)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:39:y:2021:i:c:s1544612319310888

DOI: 10.1016/j.frl.2020.101610

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