Abstract

ABSTRACTOur article employs the high frequency intraday data from the Shanghai Stock Exchange to analyze the impacts of the price limit mechanism on the stock price dynamics and their determinants. We document significant volatility spillover effects and downward magnet effects for individual stocks and for the market index. Finally, our empirical results suggest that timing and trading volumes are two determinants of price limit effects.

Full Text
Published version (Free)

Talk to us

Join us for a 30 min session where you can share your feedback and ask us any queries you have

Schedule a call