Proceedings of the 2013 International Academic Workshop on Social Science

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The Effects of Price Limits in an Emerging Market:Evidence from the Bursa Malaysia

Authors
Marzieh Khodavandloo, Zukarnain Zakaria
Corresponding Author
Marzieh Khodavandloo
Available Online October 2013.
DOI
10.2991/iaw-sc.2013.24How to use a DOI?
Keywords
Price Limits; Volatility Spillover; Trading Interference; Trading Volume; Bursa Malaysia
Abstract

One type of circuit breaker is price limit, which is used in future markets and other stock exchanges of emerging markets in order to prevent markets from excessive volatility, market controlling, crash occurrence and to enhance the market stability. The range of price limits in most of stock exchanges have changed with specific reasons. Researchers have different opinions about the effects of applying the price limit system, and the positive or negative effects that are caused by using this system are not yet confirmed in conducted researches definitely. This paper examines the effects of price limits on Bursa Malaysia (previously known as Kuala Lumpur Stock Exchange, KLSE) before and after the 2007-2008 crisis by testing the volatility spillover and trading interference hypotheses. The statistical results of this study do not support the tested hypotheses since smaller volatility is experienced by stockshit category during postlimit days compared to other categories. In addition, the trading volume of stockshit does not increase after price-limit-hits that it leads to understanding the concept that this system does not prevent rational trading on price-limit-hit day.

Copyright
© 2013, the Authors. Published by Atlantis Press.
Open Access
This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

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Volume Title
Proceedings of the 2013 International Academic Workshop on Social Science
Series
Advances in Intelligent Systems Research
Publication Date
October 2013
ISBN
978-90-78677-84-0
ISSN
1951-6851
DOI
10.2991/iaw-sc.2013.24How to use a DOI?
Copyright
© 2013, the Authors. Published by Atlantis Press.
Open Access
This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

Cite this article

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TY  - CONF
AU  - Marzieh Khodavandloo
AU  - Zukarnain Zakaria
PY  - 2013/10
DA  - 2013/10
TI  - The Effects of Price Limits in an Emerging Market:Evidence from the Bursa Malaysia
BT  - Proceedings of the 2013 International Academic Workshop on Social Science
PB  - Atlantis Press
SP  - 114
EP  - 117
SN  - 1951-6851
UR  - https://doi.org/10.2991/iaw-sc.2013.24
DO  - 10.2991/iaw-sc.2013.24
ID  - Khodavandloo2013/10
ER  -