The effect of relaxing daily price limit: Evidence from the ChiNext market of China

Xiaoyuan Wan and Jiachen Zhang

Economics Letters, 2022, vol. 215, issue C

Abstract: On August 24, 2020, the daily price limit for stocks listed on the ChiNext market is relaxed from 10% to 20%. We conduct an event study and find that stock returns tend to be positive upon the widening of daily price limit. Moreover, the relaxation of daily price limit has no significant effect on price efficiency but significantly improves liquidity and induces higher return volatility.

Keywords: Daily price limit; Stock valuation; Price efficiency; Liquidity; Volatility (search for similar items in EconPapers)
JEL-codes: G10 G14 G18 (search for similar items in EconPapers)
Date: 2022
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:eee:ecolet:v:215:y:2022:i:c:s0165176522001318

DOI: 10.1016/j.econlet.2022.110509

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