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

Yuan Yirui

2015

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.

References

  1. Chung Jeff and Li Gan, 2005, Estimating the effect of price limits on limit-hitting days, the econometric journal Vol.8, No.1
  2. Kenneth A. Kim and S. Ghon Rhee, 1997, Price limit performance: Evidence from the Tokyo Stock Exchange, the journal of finance. Vol.LII, No2
  3. Haitham Nobanee, Wasim K. AlShattarat, Ayman E. Haddad and Maryam AlHajjar, 2010, Price limits and volatility: a new approach and some new empirical evidence from the Tokyo stock exchange, International Research Journal of Finance and Economics 1450-2887
  4. Alex Frino, Steven Lecce and Reuben Segara, 2011, The impact of trading halts on liquidity and price volatility: evidence from the Australian stock exchange, Pacific-Basin Finance Journal, Volumn 19, issue 3
  5. Kenneth A. Kim and Piman Limpaphayom, 2000, Characteristics of stocks that frequently hit price limits: empirical evidence from Taiwan and Thailand, Journal of Financial Markets, 315-332
  6. Li Gan and Dong Li, 2001, Using American Depository Receipts to identify the effect of price limits
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Paper Citation


in Harvard Style

Yirui Y. (2015). Daily Equity Returns and Price Limit in China's Stock Market . In Proceedings of the Information Science and Management Engineering III - Volume 1: ISME, ISBN 978-989-758-163-2, pages 11-14. DOI: 10.5220/0006018200110014


in Bibtex Style

@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 - Volume 1: ISME,},
year={2015},
pages={11-14},
publisher={SciTePress},
organization={INSTICC},
doi={10.5220/0006018200110014},
isbn={978-989-758-163-2},
}


in EndNote Style

TY - CONF
JO - Proceedings of the Information Science and Management Engineering III - Volume 1: 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