Arbeitspapier
Managing excess volatility: Design and effectiveness of circuit breakers
We investigate different designs of circuit breakers implemented on European trading venues and examine their effectiveness to manage excess volatility and to preserve liquidity. Specifically, we empirically analyze volatility and liquidity around volatility interruptions implemented on the German and Spanish stock market which differ regarding specific design parameters. We find that volatility interruptions in general significantly decrease volatility in the post interruption phase. Unfortunately, this decrease in volatility comes at the cost of decreased liquidity. Regarding design parameters, we find tighter price ranges and shorter durations to support volatility interruptions in achieving their goals.
- Sprache
-
Englisch
- Erschienen in
-
Series: SAFE Working Paper ; No. 195
- Klassifikation
-
Wirtschaft
Information and Market Efficiency; Event Studies; Insider Trading
International Financial Markets
General Financial Markets: Government Policy and Regulation
Financial Institutions and Services: Government Policy and Regulation
- Thema
-
Circuit Breaker
Volatility Interruption
Volatility
Liquidity
Market Design
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Clapham, Benjamin
Gomber, Peter
Haferkorn, Martin
Panz, Sven
- Ereignis
-
Veröffentlichung
- (wer)
-
Goethe University Frankfurt, SAFE - Sustainable Architecture for Finance in Europe
- (wo)
-
Frankfurt a. M.
- (wann)
-
2017
- DOI
-
doi:10.2139/ssrn.2910977
- Handle
- URN
-
urn:nbn:de:hebis:30:3-456406
- Letzte Aktualisierung
-
10.03.2025, 11:42 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Clapham, Benjamin
- Gomber, Peter
- Haferkorn, Martin
- Panz, Sven
- Goethe University Frankfurt, SAFE - Sustainable Architecture for Finance in Europe
Entstanden
- 2017
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