DO PRICE LIMITS INCREASE STOCK MARKET VOLATILITY IN CHINA?

This paper explores the effects of price limits on the Chinese stock market during the global market crisis in 2008. In particular, we focus on investigating the characteristics of stocks that hit price limits more frequently under market turmoil. It is found that the price limit system increases volatility of the market significantly during downward price movements. Moreover, price limit delays the efficient price discovery for upward and downward price movements. Finally, actively-traded stocks with a higher positive correlation with the entire market in the property industry hit price limits more frequently.

關鍵字

Price Limit ； Financial Crises ； A-Share Market

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DO PRICE LIMITS INCREASE STOCK MARKET VOLATILITY IN CHINA?

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