Examining futures price changes and volatility on the trading day after a limit-lock day
研究了期货价格在涨跌停板日后的交易日如何变化，发现涨停日后价格平均继续上涨，但涨跌停板对波动性的影响因合约而异。
This paper examines the effect that price limits have on futures prices by testing what happens to price changes and volatility on the trading day following a limit-lock day. The results show evidence that prices continue to rise on average the day after an up-limit day. In addition, limits appear to influence price volatility for some but not all of the futures contracts. However, since the findings vary across the different commodity futures contracts, it is likely that limits do not directly impact price volatility. © 2000 John Wiley & Sons, Inc. Jrl Fut Mark 20:445–466, 2000