Price Limits and Characteristics of Stocks: Empirical Evidence from Taiwan

Mei-Chen Lin

《Asia Pacific Management Review》 14卷2期 (2009/06) Pp. 193-214

https://doi.org/10.6126/APMR.2009.14.2.06

並列摘要

This paper reinvestigates the effect of price limits after controlling for the characteristics of stocks that may affect stock price behavior. It is found that price limits are ineffective. Specifically, price limits cause volatility spillover on subsequent days and prevent prices from reaching their equilibrium level effectively. The effect of price limits on trading interference is asymmetric. Up-limit hits are accompanied with trading interference, while down-limit hits are not. Besides, the imposition of price limits can have more adverse effects on volatile stocks, actively traded stocks, small capitalization stocks, and growth stocks.

並列關鍵字

Price limits ； delay price discovery ； volatility spillover ； trading interference ； size ； beta ； turnover ratio

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