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The impacts of circuit breakers on China's stock market

Zeguang Li, Keqiang Hou and Chao Zhang

Pacific-Basin Finance Journal, 2021, vol. 68, issue C

Abstract: In this paper, we empirically investigate the impacts of the circuit breaker mechanism installed in the Shanghai Stock Exchange using high-frequency intraday data. We find that trade impediments have liquidity effects. In the presence of circuit breakers, investors' behavior will accelerate the arrival of price limits. We also document significant downward magnet effects for individual stocks and for the market index but find no significant volatility spillover effects.

Keywords: Circuit breaker; Impediment to trade; Price limit mechanism; Magnet effects (search for similar items in EconPapers)
JEL-codes: G01 G10 G18 (search for similar items in EconPapers)
Date: 2021
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Persistent link: https://EconPapers.repec.org/RePEc:eee:pacfin:v:68:y:2021:i:c:s0927538x19305347

DOI: 10.1016/j.pacfin.2020.101343

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Pacific-Basin Finance Journal is currently edited by K. Chan and S. Ghon Rhee

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