Abstract
Daily price limits in the securities markets may affect certain securities more often than other securities. To examine this issue empirically, we examine two stock markets that impose daily price limits (Taiwan Stock Exchange and the Stock Exchange of Thailand). Overall, we find that volatile stocks, actively traded stocks, and small market capitalization stocks hit price limits more often than other stocks. Our findings, therefore, provide new considerations into the current discussions surrounding price limit mechanisms, an important topic in which very little is known.
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