Price Limits and Asymmetry of Price Dynamics-High Frequency Evidence from the Chinese Stock Market

被引：11
|
作者：
Hou, Keqiang [1 ,3 ]
Li, Xing [2 ]
Zhong, Wei [1 ]
机构：
[1] Shanghai Univ, SHU UTS SILC Business Sch, Shanghai, Peoples R China
[2] Nanjing Univ Finance & Econ, Sch Int Econ & Trade, Nanjing, Jiangsu, Peoples R China
[3] Univ Technol Sydney, UTS Business Sch, POB 123, Broadway, NSW 2007, Australia
来源：
EMERGING MARKETS FINANCE AND TRADE | 2020年 / 56卷 / 07期
基金：
中国国家自然科学基金;
关键词：
magnet effect; price limits; volatility spillover effect; VOLATILITY;
D O I：
10.1080/1540496X.2018.1553163
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
Our article employs the high frequency intraday data from the Shanghai Stock Exchange to analyze the impacts of the price limit mechanism on the stock price dynamics and their determinants. We document significant volatility spillover effects and downward magnet effects for individual stocks and for the market index. Finally, our empirical results suggest that timing and trading volumes are two determinants of price limit effects.
引用
收藏
页码：1447 / 1461
页数：15
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