Price limits hitting effect and cross-sectional stock returns: Evidence from China
Author
Abstract
Suggested Citation
DOI: 10.1016/j.frl.2023.104803
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- Hung, Weifeng & Yang, J. Jimmy, 2018. "The MAX effect: Lottery stocks with price limits and limits to arbitrage," Journal of Financial Markets, Elsevier, vol. 41(C), pages 77-91.
- Westerhoff, Frank, 2003. "Speculative markets and the effectiveness of price limits," Journal of Economic Dynamics and Control, Elsevier, vol. 28(3), pages 493-508, December.
- De Bondt, Werner F M & Thaler, Richard, 1985. "Does the Stock Market Overreact?," Journal of Finance, American Finance Association, vol. 40(3), pages 793-805, July.
- Chen, Ting & Gao, Zhenyu & He, Jibao & Jiang, Wenxi & Xiong, Wei, 2019. "Daily price limits and destructive market behavior," Journal of Econometrics, Elsevier, vol. 208(1), pages 249-264.
- Kate Phylaktis & Manolis Kavussanos & Gikas Manalis, 1999. "Price Limits and Stock Market Volatility in the Athens Stock Exchange," European Financial Management, European Financial Management Association, vol. 5(1), pages 69-84, March.
- Kim, Kenneth A. & Limpaphayom, Piman, 2000. "Characteristics of stocks that frequently hit price limits: Empirical evidence from Taiwan and Thailand," Journal of Financial Markets, Elsevier, vol. 3(3), pages 315-332, August.
- Jiang, Fuwei & Qi, Xinlin & Tang, Guohao, 2018. "Q-theory, mispricing, and profitability premium: Evidence from China," Journal of Banking & Finance, Elsevier, vol. 87(C), pages 135-149.
- Kim, Kenneth & Rhee, S Ghon, 1997. "Price Limit Performance: Evidence from the Tokyo Stock Exchange," Journal of Finance, American Finance Association, vol. 52(2), pages 885-899, June.
- C. J. Adcock & C. Ye & S. Yin & D. Zhang, 2019. "Price discovery and volatility spillover with price limits in Chinese A-shares market: A truncated GARCH approach," Journal of the Operational Research Society, Taylor & Francis Journals, vol. 70(10), pages 1709-1719, October.
- Gishan Dissanaike, 1997. "Do Stock Market Investors Overreact?," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 24(1), pages 27-50, January.
- Floros, Ioannis V. & Sapp, Travis R.A., 2011. "Shell games: On the value of shell companies," Journal of Corporate Finance, Elsevier, vol. 17(4), pages 850-867, September.
- Brad M. Barber & Terrance Odean, 2008. "All That Glitters: The Effect of Attention and News on the Buying Behavior of Individual and Institutional Investors," The Review of Financial Studies, Society for Financial Studies, vol. 21(2), pages 785-818, April.
- Kenneth A. Kim & Haixiao Liu & J. Jimmy Yang, 2013. "Reconsidering Price Limit Effectiveness," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 36(4), pages 493-518, December.
- Gishan Dissanaike, 1997. "Do Stock Market Investors Overreact?," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 24(1), pages 27-50.
- Hao Li & Zhisheng Li, 2022. "The effect of daily price limits on stock liquidity: Evidence from the Chinese stock market," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 62(5), pages 4885-4917, December.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Imtiaz Mohammad Sifat & Azhar Mohamad, 2019. "Circuit breakers as market stability levers: A survey of research, praxis, and challenges," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 24(3), pages 1130-1169, July.
- Anchor Lin & Peggy Swanson, 2010. "Contrarian strategies and investor overreaction under price limits," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 34(4), pages 430-454, October.
- Jia-Hau Guo & Lung-Fu Chang, 2020. "A generalization of option pricing to price-limit markets," Review of Derivatives Research, Springer, vol. 23(2), pages 145-161, July.
- 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.
- Deb, Saikat Sovan & Kalev, Petko S & Marisetty, Vijaya B, 2017. "Price limits and volatility," Pacific-Basin Finance Journal, Elsevier, vol. 45(C), pages 142-156.
- Hao Li & Zhisheng Li, 2022. "The effect of daily price limits on stock liquidity: Evidence from the Chinese stock market," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 62(5), pages 4885-4917, December.
- Hisham Farag, 2015. "Long-term Overreaction, Regulatory Policies and Stock Market Anomalies: Evidence from Egypt," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 14(2), pages 112-139, August.
- Adam Zaremba & Jacob Koby Shemer, 2018. "Price-Based Investment Strategies," Springer Books, Springer, number 978-3-319-91530-2, January.
- Chu, Shan-Ying & Chan, Lin Kun & Yeh, Jin-Huei, 2019. "The stabilizing effects of price limits: New evidence from jump contributed price variations," The North American Journal of Economics and Finance, Elsevier, vol. 48(C), pages 529-539.
- Li, Huimin & Zheng, Dazhi & Chen, Jun, 2014. "Effectiveness, cause and impact of price limit—Evidence from China's cross-listed stocks," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 29(C), pages 217-241.
- Sifat, Imtiaz Mohammad & Mohamad, Azhar, 2020. "A survey on the magnet effect of circuit breakers in financial markets," International Review of Economics & Finance, Elsevier, vol. 69(C), pages 138-151.
- Tang, Siyuan, 2023. "Price limit performance: New evidence from a quasi-natural experiment in China's ChiNext market," International Review of Financial Analysis, Elsevier, vol. 89(C).
- 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.
- Xiao, Yuewen & Zheng, Xinwei & Wang, Chengsi, 2024. "Price limit hits in the Chinese fund market: Determinants and post-hit performance," International Review of Economics & Finance, Elsevier, vol. 89(PA), pages 70-82.
- 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).
- Jeff Madura & Martina K. Bers, 2002. "The performance persistence of foreign closed‐end funds," Review of Financial Economics, John Wiley & Sons, vol. 11(4), pages 263-285.
- Kenneth A. Kim & Jungsoo Park, 2010. "Why Do Price Limits Exist in Stock Markets? A Manipulation†Based Explanation," European Financial Management, European Financial Management Association, vol. 16(2), pages 296-318, March.
- 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.
- Darby, Julia & Zhang, Hai & Zhang, Jinkai, 2021.
"Institutional trading in volatile markets: Evidence from Chinese stock markets,"
Pacific-Basin Finance Journal, Elsevier, vol. 65(C).
- Julia Darby & Hai Zhang & Jinkai Zhang, 2019. "Institutional trading in volatile markets: evidence from Chinese stock markets," Working Papers 1912, University of Strathclyde Business School, Department of Economics.
- Sun, Ping-Wen & Cai, Yingying, 2024. "Influence of a wider trading range on stock price efficiency: Evidence from ChiNext stocks in China," The North American Journal of Economics and Finance, Elsevier, vol. 70(C).
More about this item
Keywords
Price limits hitting effect; Overreacted trading;JEL classification:
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:finlet:v:60:y:2024:i:c:s1544612323011753. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/locate/frl .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.