Does price limit reduce stock price volatility on the limit up and down day?

被引：2
|
作者：
Jin, Shaorong [1 ]
Zhou, Chaobo [2 ]
Peng, Huan [1 ]
机构：
[1] Southwest Univ, Coll Econ & Management, Chongqing 400715, Peoples R China
[2] Ningbo Univ Finance & Econ, Sch Int Econ & Trade, Ningbo 315000, Zhejiang, Peoples R China
来源：
FINANCE RESEARCH LETTERS | 2023年 / 58卷
关键词：
Price limit; Band-pass filter; Stock price volatility; FUTURES; MARKET; TESTS;
D O I：
10.1016/j.frl.2023.104302
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
It is difficult for the current researches to effectively describe the real influence of price limit on stock price on the limit up and down day. This study embeds the working principle of band-pass filter in the relationship between price limit and stock price volatility, and constructs GARCH (1, 1) model by using the high-frequency transaction data in Chinese stock market to re-examine the influence of price limit on stock price volatility on the limit up and down day. The results show that price limit doesn't play a role in reducing the stock price volatility but contributes to the volatility.
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页数：7
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