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• W2040403914 startingPage "256" @default.
• W2040403914 abstract "Price limits supposedly provide a cool-off period that allows investors to reassess the market conditions. They represent an implementation risk, a special form of arbitrage risk, that impedes arbitrageurs from engaging in arbitrage activities to correct for potential mispricing. We conjecture that the cool-off period would be lengthier for stocks that are subject to higher degrees of arbitrage risk and investor sentiment, and that the effect of arbitrage risk is stronger in up-limit hits because of higher short-sale restriction involved. Based on a sample of intraday data from the Taiwan Stock Exchange, we find that stocks with smaller capitalizations and higher idiosyncratic risk tend to have longer limit-hit durations, consistent with the behavioral argument. The empirical results have important policy implications for stock market regulations." @default.
• W2040403914 created "2016-06-24" @default.
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• W2040403914 date "2013-09-01" @default.
• W2040403914 modified "2023-10-06" @default.
• W2040403914 title "What affects the cool-off duration under price limits?" @default.
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• W2040403914 doi "https://doi.org/10.1016/j.pacfin.2013.01.004" @default.
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