Performance of Price Limits: Evidence from Cross-Listed Stocks in China  

作　　者：卢亮亮 

机构地区：[1]Shanghai Advanced Institute of Finance, Shanghai Jiaotong University [2]Founder Securities Co., Ltd.

出　　处：《Journal of Shanghai Jiaotong university(Science)》2016年第2期247-256,共10页上海交通大学学报（英文版）

摘　　要：Previous literature on price limit offers mixed empirical evidence on the effectiveness of price limits.This study complements the literature by providing a quasi-natural experiment to study the performance of price limit. We examine the effectiveness of price limit rule using cross-listed stocks in the Chinese stock markets and Hong Kong stock market. We find that the influence of price limit becomes weaker as limit-hitting stocks are traded more actively. Among stocks with high trading activity, the delay of efficient price discovery, the volatility spillover and the trading interference become statistically insignificant. This challenges the views of price limit critics. Additionally, we find that the effect of price limits on the trading is asymmetric for A-shares in the upward and downward price movements.Previous literature on price limit offers mixed empirical evidence on the effectiveness of price limits.This study complements the literature by providing a quasi-natural experiment to study the performance of price limit. We examine the effectiveness of price limit rule using cross-listed stocks in the Chinese stock markets and Hong Kong stock market. We find that the influence of price limit becomes weaker as limit-hitting stocks are traded more actively. Among stocks with high trading activity, the delay of efficient price discovery, the volatility spillover and the trading interference become statistically insignificant. This challenges the views of price limit critics. Additionally, we find that the effect of price limits on the trading is asymmetric for A-shares in the upward and downward price movements.

关 键 词：price limit A-shares H-shares CROSS-LISTING 

分 类 号：F830[经济管理—金融学]