TY - JOUR ID - 20389 TI - The Effects of Price Limit Modification on Volatility, Return, Trade Frequency, Trade Size and Turn-over Velocity in Tehran Stock Exchange JO - Financial Research Journal JA - FRJ LA - en SN - 1024-8153 AU - Eslami-Bidgoli, Gholamreza AU - Ghalibaf-Asl, Hasan AU - Alishavandi, Abdollah AD - Y1 - 2009 PY - 2009 VL - 11 IS - 27 SP - EP - KW - Circuit Breaker KW - Price Limit KW - Return KW - Turn-over Velocity KW - Volatility DO - N2 - According to stock price excessive volatility in Tehran stock exchange, the price limit mechanism is utilized in order to making the price fluctuation narrow and based on the specific periods, the price limit has encountered some variations which price limit has been determined by try and error within these periods and in a short stage of time many modifications existed through the applications of the price limit practice; without considering its real effect on market and reaction of the investors to the variation of the price limit. In this study, the price limit modification from %2 to %3, happening on some effective variables in Tehran stock exchange, as the focal point, is mainly analyzed. To analyze the research data, descriptive and inferential statistics have been used. To test the hypotheses, we have used econometrics and statistics methods such as GARCH model and Multiple Linear Regression. Significance of models coefficients have been measured by P-Value at significant level equal to 5%. Statistical population in this research includes all of the listed companies in Tehran Stock Exchange within the time bracket from 1/7/1386 to 30/9/1387 in a daily approach. The conclusions of this study revealed that the price limit modification from %2 to %3 in Tehran stock exchange within the examined time period does not have significant effect on market volatility, market return and trade frequency, unlike the significant effect on increasing market trade size, decreasing turn-over velocity or decreasing liquidity. In other word, the conclusions are reasoning that for a certain one percent increase of the price limit in Tehran stock exchange there will be no significant effects on core variables in the market. UR - https://jfr.ut.ac.ir/article_20389.html L1 - https://jfr.ut.ac.ir/article_20389_9c1d6aa29c71926ae563c0d4a7d599ad.pdf ER -