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Article Dans Une Revue International Journal of Economics and Financial Année : 2014

Price limit and financial contagion: protection or illusion? The tunisian stock exchange case

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Halim Dabbou
  • Fonction : Auteur
Ahmed Silem
  • Fonction : Auteur
  • PersonId : 932661

Résumé

The aim of this paper is to analyze the role of the price limits system to secure the Tunisian stock market against the contagion by the current world-wide crisis. Initially, we try to show that the contagion observed in the Tunisian market is of psychological nature before analyzing the role played by the price limits to avoid a stock exchange crash. Our empirical investigation deals with the behavior of the Tunisian market around the downward price limits. Two methodologies are used: that of Kim and Rhee (1997), become impossible to circumvent in the studies being interested in the price limits and that standard event studies, applied to return and volume. Our results show that the price limits played a stabilizing part in the case of the price falls without undesirable effects, contrary to the results found on several other markets.
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Dates et versions

hal-00925424 , version 1 (08-01-2014)

Identifiants

  • HAL Id : hal-00925424 , version 1

Citer

Halim Dabbou, Ahmed Silem. Price limit and financial contagion: protection or illusion? The tunisian stock exchange case. International Journal of Economics and Financial, 2014, 4 (1), pp.54-70. ⟨hal-00925424⟩
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