Research on Price Limit of a Stock Market and Its Market Effect to A and H Stock Market

被引：0

作者：

Chen, Xuesheng ^{[1
]}

Cui, Fenghui ^{[1
]}

机构：

[1] Shan Dong Univ WeiHai, Sch Business, Weihai City, Shandong, Peoples R China

来源：

ICEEM 2012: 2012 2ND INTERNATIONAL CONFERENCE ON ECONOMIC, EDUCATION AND MANAGEMENT, VOL 2 | 2012年

关键词：

Price limit; Market effect; Volatility spillover;

D O I：

暂无

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

A big difference between A stock market and H stock market is that price limit exists in A stock market but not in H stock market. Does this difference affect the two stock markets' efficiency? Empirical studies of the volatility spillover hypotheses, the delayed price discovery hypotheses, and the trading interference hypotheses demonstrate that A stock market and H stock market have the synchronous reaction to the same important information. But A stock market's efficiency is lower than H stock market for price limit existing in A stock market.

引用

页码：31 / 36

页数：6