The Effect of Market Monitoring Costs on Price Limit Rules

Document Type : Research Paper


1 Associate prof, Faculty of Social Sciences and Economics,Alzahra University ,Tehran.Iran

2 Assistant Prof, Faculty of Social Sciences and Economics,Alzahra University ,Tehran.Iran

3 MSc.Financial Management, Faculty of Social Sciences and Economics,Alzahra University ,Tehran.Iran


This study examined the relationship between market monitoring cost consist the business disclosure index, the index of perception of corruption, rule of law and regulations quality, and also pointed out the technology index and exercise price limit rules that are in stock.
In this research the relationship between the above indicators to price limit rules applied during the period 2005-2010 in a sample of 37 countries, including members of the World Federation of Exchange, also Tehran Stock Exchange that Complete data in the interval have been investigated. To estimate the model we used of software Stata11, Eviews7, and Excel. The results show that there is a Significant negative relationship between business disclosure index, perception of corruption and technology index with Utilization Price limit rules. Whatever The value of this index is less likelihood used of further legislation. The second part of the study also showed that to be effective each of the five indicators of market monitoring cost price limit on the range.


Main Subjects

Bidgoli, Gh., Ghalibaf Asl, H.; Alishvandy, A. (2009). Review effects change price limit on fluctuation of the market, Market returns, Number of transactions, Size of transaction and speed roll stock in Tehran Stock Exchange. Journal of Financial Research, 11 (27). (in persian)
Chen, Y. )1993). Price limits and stock market volatility in Taiwan. Pacific-BasinFinance Journal, (1): 139–153.
Deb, S.S., Kalev, P.S. & Marisetty, V.B. (2010). Are price limits really bad for equality markets? Journal of Banking & Finance, 34 (10): 2462-2471.
Gujrati, D. (1999). Principles of Econometrics. Volume II, translated by Hamid Abrishami, Tehran, Tehran UniversityPress. (in persian)
Kaufmann, D., Kraay, A. & Mastruzzi, M. (2005).Governance Matters IV: Governance Indicators for 1996–2004. World Bank Policy Research Working, Paper Series 3630.
Kim, K.A. & Park, J. (2008). Why do price limits Exist in stock markets? A mainpulation-Based Explanation. European Financial Management, 16(2): 296-318.
Kim, Y.H., Yagüe, J. & Yang, J.J. (2008).Relative performance of trading halts and price limits: Evidence from the Spanish Stock Exchange. International Review of Economics & Finance, 17 (2): 197-215.
Lehman, B.N. (1989). Commentary volatility, Price resolution, and the effectiveness of price limits. Journal of financial services research (3): 205-209.
Stamatiou, T. (2007). Price Limits, Volatility, Liquidity and Abnormal Returns: An Event Study from the Athens Stock Exchange. Journal of Financial Services Research, (7): 156-180.
Taheri, Z. (2011). Quality indicators of financial markets and its effect on price limit. Master Thesis Financial Management, Tehran: Faculty of Social Sciences and Economics, Alzahra University. (in persian)
Treisman, D. (2000). The cause of corruption: A Cross-national study. Journal of public Economics, 3(76): 399-457.