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The intraday stock return characteristics surrounding price limit hits


  • Lee, Jie-Haun
  • Chou, Robin K.


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  • Lee, Jie-Haun & Chou, Robin K., 2004. "The intraday stock return characteristics surrounding price limit hits," Journal of Multinational Financial Management, Elsevier, vol. 14(4-5), pages 485-501.
  • Handle: RePEc:eee:mulfin:v:14:y:2004:i:4-5:p:485-501

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    References listed on IDEAS

    1. Lee, Charles M C & Ready, Mark J & Seguin, Paul J, 1994. " Volume, Volatility, and New York Stock Exchange Trading Halts," Journal of Finance, American Finance Association, vol. 49(1), pages 183-214, March.
    2. Lo, Andrew W. & MacKinlay, A. Craig, 1989. "The size and power of the variance ratio test in finite samples : A Monte Carlo investigation," Journal of Econometrics, Elsevier, vol. 40(2), pages 203-238, February.
    3. Cho, David D. & Russell, Jeffrey & Tiao, George C. & Tsay, Ruey, 2003. "The magnet effect of price limits: evidence from high-frequency data on Taiwan Stock Exchange," Journal of Empirical Finance, Elsevier, vol. 10(1-2), pages 133-168, February.
    4. Angel, James J, 1997. " Tick Size, Share Prices, and Stock Splits," Journal of Finance, American Finance Association, vol. 52(2), pages 655-681, June.
    5. Cochrane, John H, 1988. "How Big Is the Random Walk in GNP?," Journal of Political Economy, University of Chicago Press, vol. 96(5), pages 893-920, October.
    6. Huang, Roger D & Stoll, Hans R, 1994. "Market Microstructure and Stock Return Predictions," Review of Financial Studies, Society for Financial Studies, vol. 7(1), pages 179-213.
    7. Glosten, Lawrence R. & Milgrom, Paul R., 1985. "Bid, ask and transaction prices in a specialist market with heterogeneously informed traders," Journal of Financial Economics, Elsevier, vol. 14(1), pages 71-100, March.
    8. Kim, Kenneth & Rhee, S Ghon, 1997. " Price Limit Performance: Evidence from the Tokyo Stock Exchange," Journal of Finance, American Finance Association, vol. 52(2), pages 885-899, June.
    9. Cheung, Yin-Wong & Ng, Lilian K, 1992. " Stock Price Dynamics and Firm Size: An Empirical Investigation," Journal of Finance, American Finance Association, vol. 47(5), pages 1985-1997, December.
    10. Greenwald, Bruce C & Stein, Jeremy, 1988. "The Task Force Report: The Reasoning behind the Recommendations," Journal of Economic Perspectives, American Economic Association, vol. 2(3), pages 3-23, Summer.
    11. Martens, Martin & Steenbeek, Onno W., 2001. "Intraday trading halts in the Nikkei futures market," Pacific-Basin Finance Journal, Elsevier, vol. 9(5), pages 535-561, November.
    12. Amihud, Yakov & Mendelson, Haim, 1991. " Volatility, Efficiency, and Trading: Evidence from the Japanese Stock Market," Journal of Finance, American Finance Association, vol. 46(5), pages 1765-1789, December.
    13. De Bondt, Werner F M & Thaler, Richard, 1985. " Does the Stock Market Overreact?," Journal of Finance, American Finance Association, vol. 40(3), pages 793-805, July.
    14. Easley, David & O'Hara, Maureen, 1987. "Price, trade size, and information in securities markets," Journal of Financial Economics, Elsevier, vol. 19(1), pages 69-90, September.
    15. Gerety, Mason S & Mulherin, J Harold, 1992. " Trading Halts and Market Activity: An Analysis of Volume at the Open and the Close," Journal of Finance, American Finance Association, vol. 47(5), pages 1765-1784, December.
    16. Kim, Kenneth A. & Limpaphayom, Piman, 2000. "Characteristics of stocks that frequently hit price limits: Empirical evidence from Taiwan and Thailand," Journal of Financial Markets, Elsevier, vol. 3(3), pages 315-332, August.
    17. Kodres, Laura E & O'Brien, Daniel P, 1994. "The Existence of Pareto-Superior Price Limits," American Economic Review, American Economic Association, vol. 84(4), pages 919-932, September.
    18. George, Thomas J & Kaul, Gautam & Nimalendran, M, 1991. "Estimation of the Bid-Ask Spread and Its Components: A New Approach," Review of Financial Studies, Society for Financial Studies, vol. 4(4), pages 623-656.
    19. Kaul, Gautam & Nimalendran, M., 1990. "Price reversals *1: Bid-ask errors or market overreaction?," Journal of Financial Economics, Elsevier, vol. 28(1-2), pages 67-93.
    20. Amihud, Yakov & Mendelson, Haim, 1987. " Trading Mechanisms and Stock Returns: An Empirical Investigation," Journal of Finance, American Finance Association, vol. 42(3), pages 533-553, July.
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    Cited by:

    1. 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.
    2. Anchor Lin & Peggy Swanson, 2010. "Contrarian strategies and investor overreaction under price limits," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 34(4), pages 430-454, October.
    3. Pawan Jain & Wen-Jun Xue, 2017. "Global Investigation of Return Autocorrelation and its Determinants," Working Papers 1704, Florida International University, Department of Economics.
    4. repec:eee:pacfin:v:43:y:2017:i:c:p:200-217 is not listed on IDEAS
    5. repec:spr:annopr:v:260:y:2018:i:1:d:10.1007_s10479-016-2317-y is not listed on IDEAS

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