Essay on financial "circuit breaker" mechanism

Soon Huat Chan, University of Rhode Island

Abstract

This dissertation consists of an essay examining the impact and effectiveness of price limit rule, a variant of financial “circuit breaker” mechanism on the returns, volatility, liquidity, information asymmetry, noise and informed trading, and order imbalance of the underlying Malaysian stocks in Kuala Lumpur Stock Exchange (KLSE). The earlier sections of the essay investigate the impact of price limit rule on the price discovery process, volatility and liquidity of the stocks. Latter sections of the study attempt to assess the effectiveness of price limit rule in reducing information asymmetry, noise trading and order imbalance of the underlying stocks by analyzing both the trade-to-trade transaction data and orders submitted in the public limit-order book. Overall, the study provides an insight and some empirical evidences of the efficacy of price limit rule on the efficiency and quality of the Malaysian stock market. ^

Subject Area

Economics, Finance

Recommended Citation

Soon Huat Chan, "Essay on financial "circuit breaker" mechanism" (1999). Dissertations and Master's Theses (Campus Access). Paper AAI9945194.
http://digitalcommons.uri.edu/dissertations/AAI9945194

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