Daily Price Limits and Destructive Market Behavior
Publication in refereed journal

替代計量分析
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其它資訊
摘要We use account-level data from the Shenzhen Stock Exchange to show that daily price limits, a widely adopted market stabilization mechanism, may lead to unintended, destructive market behavior: large investors tend to buy on the day when a stock hits the 10% upper price limit and then sell on the next day; and their net buying on the limit-hitting day predicts stronger long-run price reversal. We also analyze a sample of special treatment (ST) stocks, which face tighter 5% daily price limits, and provide a causal validation from comparing market dynamics before and after they are assigned the ST status.
出版社接受日期07.11.2017
著者Ting Chen, Zhenyu Gao, Jibao He, Wenxi Jiang, Wei Xiong
期刊名稱Journal of Econometrics
出版年份2019
月份1
卷號208
期次1
出版社Elsevier
頁次249 - 264
國際標準期刊號0304-4076
電子國際標準期刊號1872-6895
語言美式英語

上次更新時間 2021-24-01 於 02:58