Abstract
On August 24, 2020, trading rules of Shenzhen Stock Exchange's ChiNext board in China were amended to set ±20% price limits. We conducted an event study to reveal whether and how investors’ behavior should change after the increased price limits’ implementation. The results show that after the implementation of the new trading rules, investors flocked to the ChiNext board, resulting in a surge in turnover in this board. ChiNext leading stocks demonstrated significant cumulative abnormal returns (CAR) versus both STAR board and main board. In general, the new trading rules has produced a stronger up limit herding effect in ChiNext board.
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