TY  - UNPD
A1  - Clapham, Benjamin
A1  - Gomber, Peter
A1  - Haferkorn, Martin
A1  - Panz, Sven
T1  - Managing excess volatility: design and effectiveness of circuit breakers
T2  - SAFE working paper series ; No. 195
N2  - 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.
T3  - SAFE working paper - 195 
KW  - Circuit Breaker
KW  - Volatility Interruption
KW  - Volatility
KW  - Liquidity
KW  - Market Design
Y1  - 2018
UR  - http://publikationen.ub.uni-frankfurt.de/frontdoor/index/index/docId/45640
UR  - https://nbn-resolving.org/urn:nbn:de:hebis:30:3-456406
UR  - https://ssrn.com/abstract=2910977
IS  - February 2, 2017
PB  - SAFE
CY  - Frankfurt am Main
ER  -