Do price limits hurt the market?

Chia-Hsuan Yeh () and Chun-Yi Yang ()

Journal of Economic Interaction and Coordination, 2013, vol. 8, issue 1, 125-153

Abstract: Under an artificial stock market composed of bounded-rational and heterogeneous traders, this paper examines whether or not price limits generate the negative effects on the market. Through testing the volatility spillover hypothesis, the delayed price discovery hypothesis, and the trading interference hypothesis, we find that no evidence of volatility spillover is observed. However, the phenomena of delayed price discovery and trading interference indeed exist, and their significance depends on the level of the price limits. Copyright Springer-Verlag Berlin Heidelberg 2013

Keywords: Price limits; Artificial stock market; Agent-based modeling; Genetic programming; D83; D84; G11; G12 (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (16)

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DOI: 10.1007/s11403-012-0107-4

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