期刊名称：AESTIMATIO : the IEB International Journal of Finance
印刷版ISSN：2173-0164
出版年度：2010
期号：1
页码：110-143
出版社：Instituto de Estudios Bursátiles
摘要：Some of the world's largest futures exchanges impose daily limits on the price movements of individual contracts. Using data from three of the most active US commodity futures contracts, we show that these price restrictions are largely ineffective because traders are able to take similar positions using other contracts. When price limits become binding on the futures market, the associated (but unrestricted) options market becomes the price discovery market: much of the trading that would have occurred on the futures mar- ket migrates to the options market, and options prices accurately predict the (uncon- strained) futures price the next day. We also show that the presence of options mitigates the effect of price limits on information revelation by documenting that futures markets reflect more accurate information on days following limit hits when the associated op- tions were trading on the previous day. Overall, our evidence suggests that price limits in US futures markets have little effect on prices when options markets exist.
