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Cranes among chickens: The general-attention‐grabbing effect of daily price limits in China's stock market

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  • LIN, Fengjiao
  • QIU, Zhigang
  • ZHENG, Weinan

Abstract

This paper examines the general-attention-grabbing effect of daily price limits in China's stock market. We show that stocks with large exposure to daily price limits attract more investor attention and have lower future returns. The exposure is measured empirically through the absolute beta with respect to the daily proportion of stocks that hit price limits. The general-attention-grabbing effect is not solely caused by stocks that recently hit price limits, is not subsumed by market volatility exposure, and does not reflect other stock market characteristics. Moreover, the effect is stronger among stocks that are heavily invested in by retail investors.

Suggested Citation

  • LIN, Fengjiao & QIU, Zhigang & ZHENG, Weinan, 2023. "Cranes among chickens: The general-attention‐grabbing effect of daily price limits in China's stock market," Journal of Banking & Finance, Elsevier, vol. 150(C).
    • Handle: RePEc:eee:jbfina:v:150:y:2023:i:c:s0378426623000432
    DOI: 10.1016/j.jbankfin.2023.106818
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    More about this item

    Keywords

    Chinese stock market; Daily price limits; General-Attention-Grabbing Effect;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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