Abstract
SUMMARYWe built an artificial market model and compared the effects of price variation limits, short sell regulations, and uptick rules. When there were no regulations, the price fell below the fundamental value when economic bubble collapses occurred. When there were regulations, this overshoot did not occur and the market was more effective. However, the short sell regulations and uptick rules caused the trading prices to be higher than the base value. To summarize these points, the price variation limits have the potential to make the market more effective. We also surveyed an adequate limitation price range and an adequate limitation time span for the price variation limit and found conditions for the parameters for the price variation limit that prevent such overshoots.
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