期刊
JOURNAL OF ECONOMETRICS
卷 208, 期 1, 页码 249-264出版社
ELSEVIER SCIENCE SA
DOI: 10.1016/j.jeconom.2018.09.014
关键词
Price limit rule; Speculation; Investor behavior; Financial regulation
资金
- National Natural Science Foundation of China [71733004]
We use account-level data from the Shenzhen Stock Exchange to show that daily price limits, a widely adopted market stabilization mechanism, may lead to unintended, destructive market behavior: large investors tend to buy on the day when a stock hits the 10% upper price limit and then sell on the next day; and their net buying on the limit-hitting day predicts stronger long-run price reversal. We also analyze a sample of special treatment (ST) stocks, which face tighter 5% daily price limits, and provide a causal validation from comparing market dynamics before and after they are assigned the ST status. (C) 2018 Elsevier B.V. All rights reserved.
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