Daily Equity Returns and Price Limit in China

Yuan Yirui

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Paper

Daily Equity Returns and Price Limit in China's Stock Market

In Proceedings of the Information Science and Management Engineering III ISME - Volume 1, 11-14, 2015 , Sanya, China

Author: Yuan Yirui

Affiliation: National Research Institute for Rural Electrification, China

Keyword(s): Price Limit, Volatility, Normal Distribution.

Abstract: The purpose of this paper is to get a conclusion whether the price limits have C-H effects on return series on limit-hitting days in China. I compare the volatilities between the non-limiting return series and return series with price limit. ‘Estimating the effect of price limits on limit-hitting days’ is the main reference published in 2005 by Chung Jeff and Li Gan. The model I use is normal distribution.

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Paper citation in several formats:

Yirui, Y. (2015). Daily Equity Returns and Price Limit in China's Stock Market. In Proceedings of the Information Science and Management Engineering III - ISME; ISBN 978-989-758-163-2, SciTePress, pages 11-14. DOI: 10.5220/0006018200110014

@conference{isme15,
author={Yuan Yirui.},
title={Daily Equity Returns and Price Limit in China's Stock Market},
booktitle={Proceedings of the Information Science and Management Engineering III - ISME},
year={2015},
pages={11-14},
publisher={SciTePress},
organization={INSTICC},
doi={10.5220/0006018200110014},
isbn={978-989-758-163-2},
}

TY - CONF

JO - Proceedings of the Information Science and Management Engineering III - ISME
TI - Daily Equity Returns and Price Limit in China's Stock Market
SN - 978-989-758-163-2
AU - Yirui, Y.
PY - 2015
SP - 11
EP - 14
DO - 10.5220/0006018200110014
PB - SciTePress