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

• 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/67778/1/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; http://irep.iium.edu.my/67778/; https://www.sciencedirect.com/science/article/pii/S221463501830025X
• Institution: Universiti Islam Antarabangsa Malaysia

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...