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.

引用

页数：7

共 50 条

[31] Market dynamics and stock price volatility
Li, H
Rosser, JB
[J]. EUROPEAN PHYSICAL JOURNAL B, 2004, 39 (03): : 409 - 413
[32] Market dynamics and stock price volatility
H. Li
J. B. Rosser
[J]. The European Physical Journal B - Condensed Matter and Complex Systems, 2004, 39 : 409 - 413
[33] Forecasting the volatility of stock price index
Roh, Tae Hyup
[J]. ADVANCED DATA MINING AND APPLICATIONS, PROCEEDINGS, 2006, 4093 : 424 - 435
[34] A Signature Transform of Limit Order Book Data for Stock Price Prediction
Sidogi, Thendo
Mongwe, Wilson Tsakane
Mbuvha, Rendani
Olukanmi, Peter
Marwala, Tshilidzi
[J]. IEEE ACCESS, 2023, 11 : 70598 - 70609
[35] Predicting Stock Price Changes Based on the Limit Order Book: A Survey
Zaznov, Ilia
Kunkel, Julian
Dufour, Alfonso
Badii, Atta
[J]. MATHEMATICS, 2022, 10 (08)
[36] Does oil price uncertainty matter in stock market volatility forecasting?
Qin, Peng
Bai, Manying
[J]. PLOS ONE, 2022, 17 (12):
[37] Widening price limit effects: evidence from an emerging stock market
Lin, Chiou-Fa
Chiao, Cheng-Huei
[J]. APPLIED ECONOMICS, 2020, 52 (13) : 1476 - 1486
[38] HOW DOES STOCK MARKET VOLATILITY REACT TO OIL PRICE SHOCKS?
Bastianin, Andrea
Manera, Matteo
[J]. MACROECONOMIC DYNAMICS, 2018, 22 (03) : 666 - 682
[39] Price Clustering Asymmetries in Limit
Box, Travis
Griffith, Todd
[J]. FINANCIAL MANAGEMENT, 2016, 45 (04) : 1041 - 1066
[40] The limit-price mechanism
Mertens, JF
[J]. JOURNAL OF MATHEMATICAL ECONOMICS, 2003, 39 (5-6) : 433 - 528

← 1 2 3 4 5 →