How Do Price Limits Influence French Market Microstructure? A High Frequency Data Analysis in Terms of Return, Volatility and Volume

Karine Michalon
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Karine Michalon: DRM - Dauphine Recherches en Management - Université Paris Dauphine-PSL - PSL - Université Paris Sciences et Lettres - CNRS - Centre National de la Recherche Scientifique

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Abstract: The 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.

Keywords: trading suspension; price limit; high frequency data; volume; volatility (search for similar items in EconPapers)
Date: 2013-03
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Published in 62nd Annual Meeting of the Midwest Finance Association - MFA 2013 Annual Meeting, Mar 2013, Chicago, United States. 54 p

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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-01505381

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