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Do regulations work? A comprehensive analysis of price limits and trading restrictions in experimental asset markets with deterministic and stochastic fundamental values

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  • Bao, Zhengyang
  • Kalaycı, Kenan
  • Leibbrandt, Andreas
  • Oyarzun, Carlos

Abstract

We examine how traders react to two prominent stock market regulations. Under a constant fundamental value (FV) process, price limits and trading restrictions significantly reduce the price level and mispricing size when traders are inexperienced. Under a Markov-process FV, there is no evidence for these regulations to reduce mispricing. The novel Markov process also serves as a testbed for several financial hypotheses related to the regulations. We find that price limits do not improve reactions to market news and the binding of price limits magnifies the momentum in the price movements. These findings suggest that the scope of these regulations is limited and that they can backfire in some market environments.

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  • Bao, Zhengyang & Kalaycı, Kenan & Leibbrandt, Andreas & Oyarzun, Carlos, 2020. "Do regulations work? A comprehensive analysis of price limits and trading restrictions in experimental asset markets with deterministic and stochastic fundamental values," Journal of Economic Behavior & Organization, Elsevier, vol. 178(C), pages 59-84.
    • Handle: RePEc:eee:jeborg:v:178:y:2020:i:c:p:59-84
    DOI: 10.1016/j.jebo.2020.07.012
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    Cited by:

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    2. 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).
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    6. Yao, Jing & Zheng, Zexin, 2021. "Costly arbitrage and skewness pricing: Evidence from first-day price limit reform in China," Pacific-Basin Finance Journal, Elsevier, vol. 67(C).

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    More about this item

    Keywords

    Asset market experiment; Price limits; The t + 1 rule;
    All these keywords.

    JEL classification:

    • C92 - Mathematical and Quantitative Methods - - Design of Experiments - - - Laboratory, Group Behavior
    • D14 - Microeconomics - - Household Behavior - - - Household Saving; Personal Finance
    • D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty
    • D84 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Expectations; Speculations
    • G01 - Financial Economics - - General - - - Financial Crises
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • J16 - Labor and Demographic Economics - - Demographic Economics - - - Economics of Gender; Non-labor Discrimination

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