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Price limits, investor asset allocation, and price volatility: Evidence from China’s registration-based IPO reform

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  • Liu, Zhaoda
  • Hou, Wanyue
  • Li, Zixian
  • Shi, Peiyao

Abstract

The debate on the impact of price limits on price volatility has been long-standing and particularly divisive within the stock market. The relaxation of price limits in the ChiNext market under China’s registration-based initial public offering (IPO) reform provides an ideal scenario to revisit this issue. Unlike previous studies, this study considers both the long- and short-term effects of price limits on price volatility based on this quasi-natural experiment of stock market reform in China and finds that the relaxation of price limits increases price volatility in the short term and decreases it in the long term. This effect is caused by the different adjustments in institutional and retail investors’ short- and long-term asset allocations. Further analysis reveals that the type of institutional investor and stock style affect price volatility, while market sentiment drives the adjustments of investor asset allocation. This study provides new evidence from emerging stock market on price limits and price volatility. Integrating the short- and long-term effects of price limits and identifying their specific mechanisms will be practical and effective for the construction, regulation, and sustainable development of capital markets worldwide.

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  • Liu, Zhaoda & Hou, Wanyue & Li, Zixian & Shi, Peiyao, 2025. "Price limits, investor asset allocation, and price volatility: Evidence from China’s registration-based IPO reform," Research in International Business and Finance, Elsevier, vol. 75(C).
    • Handle: RePEc:eee:riibaf:v:75:y:2025:i:c:s0275531925000133
    DOI: 10.1016/j.ribaf.2025.102757
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    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G18 - Financial Economics - - General Financial Markets - - - Government Policy and Regulation
    • G23 - Financial Economics - - Financial Institutions and Services - - - Non-bank Financial Institutions; Financial Instruments; Institutional Investors

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