| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w24014 |
| 来源ID | Working Paper 24014 |
| Daily Price Limits and Destructive Market Behavior | |
| Ting Chen; Zhenyu Gao; Jibao He; Wenxi Jiang; Wei Xiong | |
| 发表日期 | 2017-11-13 |
| 出版年 | 2017 |
| 语种 | 英语 |
| 摘要 | 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. |
| 主题 | Financial Economics ; Portfolio Selection and Asset Pricing ; Financial Institutions |
| URL | https://www.nber.org/papers/w24014 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/581688 |
| 推荐引用方式 GB/T 7714 | Ting Chen,Zhenyu Gao,Jibao He,et al. Daily Price Limits and Destructive Market Behavior. 2017. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w24014.pdf（369KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
除非特别说明，本系统中所有内容都受版权保护，并保留所有权利。
