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.
為了持續優化網站功能與使用者體驗,本網站將Cookies分析技術用於網站營運、分析和個人化服務之目的。
若您繼續瀏覽本網站,即表示您同意本網站使用Cookies。