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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

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.

Suggested Citation

  • Li, Huimin & Zheng, Dazhi & Chen, Jun, 2014. "Effectiveness, cause and impact of price limit—Evidence from China's cross-listed stocks," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 29(C), pages 217-241.
  • Handle: RePEc:eee:intfin:v:29:y:2014:i:c:p:217-241
    DOI: 10.1016/j.intfin.2013.12.007
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    References listed on IDEAS

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    Cited by:

    1. Yu-Lei Wan & Gang-Jin Wang & Zhi-Qiang Jiang & Wen-Jie Xie & Wei-Xing Zhou, 2018. "The cooling-off effect of price limits in the Chinese stock markets," Papers 1803.09422, arXiv.org.
    2. repec:eee:empfin:v:44:y:2017:i:c:p:1-18 is not listed on IDEAS
    3. repec:spr:annopr:v:260:y:2018:i:1:d:10.1007_s10479-016-2317-y is not listed on IDEAS

    More about this item

    Keywords

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

    JEL classification:

    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • G18 - Financial Economics - - General Financial Markets - - - Government Policy and Regulation
    • G02 - Financial Economics - - General - - - Behavioral Finance: Underlying Principles

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