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Price Limit And Stock Volatility In China During Financial Crises

Author

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  • Wing Chan, Derek Wang, Terence Chong

    (LCERPA)

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

Suggested Citation

  • Wing Chan, Derek Wang, Terence Chong, 2014. "Price Limit And Stock Volatility In China During Financial Crises," LCERPA Working Papers wm0069, Laurier Centre for Economic Research and Policy Analysis.
    • Handle: RePEc:wlu:lcerpa:wm0069
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    More about this item

    Keywords

    Price limits; Financial Crisis; Logit Regression;
    All these keywords.

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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