Trading aggression when price limit hits are imminent: NARDL based intraday investigation of magnet effect

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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...

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Bibliographic Details
Main Authors:	Mohamad, Azhar, Sifat, Imtiaz Mohammad
Format:	Article
Language:	English English English
Published:	Elsevier 2018
Subjects:	HG4501 Stocks, investment, speculation
Online Access:	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

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