Price limit changes and market quality: Evidence from China

Tao Bing, Yian Cui, Ying Min and Xiong Xiong

Finance Research Letters, 2022, vol. 48, issue C

Abstract: •We investigate the impact of the widening of price limits on market quality.•The reform of the registration-based system in Chinese stock market provides a natural experiment.•After the price limit changes, market liquidity increases and the level of market information asymmetry decreases.•The findings remain valid after the robustness tests, including alternative dependent variables, the parallel trends tests and the shortening of sample periods.

Date: 2022
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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:48:y:2022:i:c:s1544612322002318

DOI: 10.1016/j.frl.2022.102982

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