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• W4382364170 endingPage "102747" @default.
• W4382364170 startingPage "102747" @default.
• W4382364170 abstract "This study examines the impact of daily price limits on market performance and trading activity by using a quasi-natural experiment in China. It focuses on the case of the ChiNext market, where the daily price limits of stocks increased from 10% to 20% in 2020. The results show that, initially, the stock prices and occurrences of 10% price limit hits increase, but then decline after the new price limits have been implemented. The level of trading liquidity and volatility increases significantly, with a greater impact on the short term than the long term. These price limit performances are more pronounced for stocks with additional retail interest. The analysis of detailed trading data reveals that institutional investors initially purchase ChiNext stocks in large quantities, followed by retail investors who purchase smaller quantities. In the long run, institutional investors tend to increase their holdings, while retail investors tend to sell their holdings. Additionally, there is a temporary increase in investor attention, price synchronicity, and stock risks, followed by a decline. The findings suggest that wider price limits increase trading volumes and enhance long-term market efficiency, but encourage immediate price manipulation, causing short-term overreactions and long-term reversals. This study provides valuable insights for building an effective price limit system." @default.
• W4382364170 created "2023-06-29" @default.
• W4382364170 creator A5085045290 @default.
• W4382364170 date "2023-10-01" @default.
• W4382364170 modified "2023-10-15" @default.
• W4382364170 title "Price limit performance: New evidence from a quasi-natural experiment in China's ChiNext market" @default.
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• W4382364170 doi "https://doi.org/10.1016/j.irfa.2023.102747" @default.
• W4382364170 hasPublicationYear "2023" @default.
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