The impacts of circuit breakers on China's stock market

被引：10

作者：

Li, Zeguang ^{[1
]}

Hou, Keqiang ^{[2
,3
]}

Zhang, Chao ^{[4
]}

机构：

[1] Nankai Univ, Sch Finance, 94 Weijin Rd, Tianjin, Peoples R China

[2] Shanghai Univ, SHU UTS SILC Business Sch, 99 Shangda Rd, Shanghai, Peoples R China

[3] Univ Technol Sydney, UTS Business Sch, POB 123, Broadway, NSW 2007, Australia

[4] Shanghai Univ Finance & Econ, Sch Finance, 777 Guoding Rd, Shanghai 200433, Peoples R China

来源：

PACIFIC-BASIN FINANCE JOURNAL | 2021年 / 68卷

关键词：

Circuit breaker; Impediment to trade; Price limit mechanism; Magnet effects; VOLATILITY;

D O I：

10.1016/j.pacfin.2020.101343

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

In this paper, we empirically investigate the impacts of the circuit breaker mechanism installed in the Shanghai Stock Exchange using high-frequency intraday data. We find that trade impediments have liquidity effects. In the presence of circuit breakers, investors' behavior will accelerate the arrival of price limits. We also document significant downward magnet effects for individual stocks and for the market index but find no significant volatility spillover effects.

引用

页数：15

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