DO PRICE LIMITS INCREASE STOCK MARKET VOLATILITY IN CHINA?
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AbstractThis paper explores the effects of price limits on the Chinese stock market during the global market crisis in 2008. In particular, we focus on investigating the characteristics of stocks that hit price limits more frequently under market turmoil. It is found that the price limit system increases volatility of the market significantly during downward price movements. Moreover, price limit delays the efficient price discovery for upward and downward price movements. Finally, actively-traded stocks with a higher positive correlation with the entire market in the property industry hit price limits more frequently.
All Author(s) ListTerence Tai Leung Chong, Dingyan Wang, Wing Hong Chan
Journal nameAdvances in Quantitative Analysis of Finance and Accounting
Year2016
Month12
Day31
Volume Number14
PublisherWorld Scientific
Place of PublicationUSA
Pages263 - 286
ISSN1061-8910
LanguagesEnglish-United States
KeywordsPrice Limit, Financial Crises, A-Share Market

Last updated on 2020-11-08 at 03:29