Price Limits and Stock Market Volatility in China

Dingyan Wang, Terence Tai Leung Chong and Wing Chan ()

MPRA Paper from University Library of Munich, Germany

Abstract: This paper explores the effects of price limits on the stock market of China during global market turmoils. The characteristics of stocks that hit the price limits more frequently under market turmoil are investigated. It is found that the price limit system increases volatility significantly during the downward price movement. 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 the price limits more frequently.

Keywords: A-share market; Price limit; Financial crises. (search for similar items in EconPapers)
JEL-codes: G1 G18 (search for similar items in EconPapers)
Date: 2014-01-26
New Economics Papers: this item is included in nep-fmk and nep-tra
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:54146

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