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Effectiveness, cause and impact of price limit—Evidence from China's cross-listed stocks

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  • Li, Huimin
  • Zheng, Dazhi
  • Chen, Jun
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    Abstract

    This paper examines the effectiveness, cause and impact of price limits by comparing cross-listed Chinese stocks in China (A shares), Hong Kong (H shares) and New York (N shares). Price limit is found to have some effectiveness in preventing price continuation, but is ineffective in that the findings confirm volatility spillover and trading interference hypotheses from Kim and Rhee (1997). International news and corporate level news are both found to have significant impact on the abnormal returns of the A shares during or after the price limit hits, especially for upper limit hits.

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    Bibliographic Info

    Article provided by Elsevier in its journal Journal of International Financial Markets, Institutions and Money.

    Volume (Year): 29 (2014)
    Issue (Month): C ()
    Pages: 217-241

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    Handle: RePEc:eee:intfin:v:29:y:2014:i:c:p:217-241

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    Web page: http://www.elsevier.com/locate/intfin

    Related research

    Keywords: Price limit; Event study; News effect; China's cross-listed stocks;

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    References

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