Effectiveness, cause and impact of price limit—Evidence from China's cross-listed stocks

Huimin Li, Dazhi Zheng and Jun Chen

Journal of International Financial Markets, Institutions and Money, 2014, vol. 29, issue C, 217-241

Abstract: This paper examines the effectiveness, cause and impact of price limits by comparing cross-listed Chinese stocks in China (A shares), Hong Kong (H shares) and New York (N shares). Price limit is found to have some effectiveness in preventing price continuation, but is ineffective in that the findings confirm volatility spillover and trading interference hypotheses from Kim and Rhee (1997). International news and corporate level news are both found to have significant impact on the abnormal returns of the A shares during or after the price limit hits, especially for upper limit hits.

Keywords: Price limit; Event study; News effect; China's cross-listed stocks (search for similar items in EconPapers)
JEL-codes: G02 G14 G15 G18 (search for similar items in EconPapers)
Date: 2014
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Citations: View citations in EconPapers (9)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:intfin:v:29:y:2014:i:c:p:217-241

DOI: 10.1016/j.intfin.2013.12.007

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