PRICE LIMIT AND STOCK VOLATILITY IN CHINA DURING FINANCIAL CRISES

Wing Chan ()
Authors registered in the RePEc Author Service: Terence Tai Leung CHONG

LCERPA Working Papers from Laurier Centre for Economic Research and Policy Analysis

Abstract: This paper explores the effects of price limits on the Chinese A-share stock markets during financial crises. A Logit regression model is estimated to investigate the characteristics of stocks that hit the price limits more frequently under economic turmoil. It is found that the price limit system increased volatility significantly, especially in 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: Price limits; Financial Crisis; Logit Regression (search for similar items in EconPapers)
JEL-codes: G10 G12 G15 (search for similar items in EconPapers)
Date: 2014-03-01
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Persistent link: https://EconPapers.repec.org/RePEc:wlu:lcerpa:wm0069

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