Estimating the effect of price limits on limit-hitting days
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- Jin, Shaorong & Zhou, Chaobo & Peng, Huan, 2023. "Does price limit reduce stock price volatility on the limit up and down day?," Finance Research Letters, Elsevier, vol. 58(PA).
- Hsieh, Ping-Hung & Yang, J. Jimmy, 2009. "A censored stochastic volatility approach to the estimation of price limit moves," Journal of Empirical Finance, Elsevier, vol. 16(2), pages 337-351, March.
- Farag, Hisham, 2015. "The influence of price limits on overreaction in emerging markets: Evidence from the Egyptian stock market," The Quarterly Review of Economics and Finance, Elsevier, vol. 58(C), pages 190-199.
- Lin, Chaonan & Ko, Kuan-Cheng & Lu, Chien-Lin, 2023. "Why is the Amihud (2002) measure priced in Taiwan: Illiquidity or mispricing?," Pacific-Basin Finance Journal, Elsevier, vol. 79(C).
- Halim Dabbou & Ahmed Silem, 2014. "Price limit and financial contagion: protection or illusion? The tunisian stock exchange case," Post-Print hal-00925424, HAL.
- Zhang, Xiaotao & Li, Xinxian & Hao, Jing & Li, Peigong, 2023. "Price limit change and magnet effect: The role of investor attention," Finance Research Letters, Elsevier, vol. 53(C).
- Lin, Chaonan & Ko, Kuan-Cheng & Lin, Lin & Yang, Nien-Tzu, 2017. "Price limits and the value premium in the Taiwan stock market," Pacific-Basin Finance Journal, Elsevier, vol. 41(C), pages 26-45.
- Halim DABBOU & Ahmed SILEM, 2014. "Price Limit and Financial Contagion: Protection or Illusion? The Tunisian Stock Exchange Case," International Journal of Economics and Financial Issues, Econjournals, vol. 4(1), pages 54-70.
- Farag, Hisham, 2013. "Price limit bands, asymmetric volatility and stock market anomalies: Evidence from emerging markets," Global Finance Journal, Elsevier, vol. 24(1), pages 85-97.
- Bing, Tao & Cui, Yian & Min, Ying & Xiong, Xiong, 2022. "Price limit changes and market quality: Evidence from China," Finance Research Letters, Elsevier, vol. 48(C).
- Xinyue Dong & Honggang Li, 2019. "The Effect of Extremely Small Price Limits: Evidence from the Early Period of the Chinese Stock Market," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 55(7), pages 1516-1530, May.
- Gatchev, Vladimir A. & Seth, Rama & Singh, Ajai & Vishwanatha, S.R., 2023. "Price bands and their effects on equity markets: Evidence from a natural experiment," Journal of Financial Markets, Elsevier, vol. 66(C).
- Ming-Chang Wang & Yu-Jia Ding & Pei-Han Hsin, 2018. "Order Aggressiveness and the Heating and Cooling-off Effects of Price Limits: Evidence from Taiwan Stock Exchange," Journal of Economics and Management, College of Business, Feng Chia University, Taiwan, vol. 14(2), pages 191-216, August.
- Donald Lien & Pi-Hsia Hung & Chiu-Ting Pan, 2020. "Price limit changes, order decisions, and stock price movements: an empirical analysis of the Taiwan Stock Exchange," Review of Quantitative Finance and Accounting, Springer, vol. 55(1), pages 239-268, July.
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