IDEAS home Printed from https://ideas.repec.org/a/wsi/ijitdm/v21y2022i06ns0219622022500286.html
   My bibliography  Save this article

An Agent-Based Model for the Impact of Price Limit Changes on Market Quality

Author

Listed:
  • Xiong Xiong

    (College of Management and Economics, Tianjin University, Tianjin 300072, P. R. China)

  • Jinchi Liu

    (College of Management and Economics, Tianjin University, Tianjin 300072, P. R. China)

  • Zonghang Yang

    (��Shenzhen Stock Exchange, Shenzhen 518038, P. R. China)

  • Jiatong Han

    (��School of Finance, Tianjin University of Finance and Economics, Tianjin 300222, P. R. China)

Abstract

This paper constructs an artificial stock market, especially the description of Chinese stocks to form a benchmark model of this paper. Then, we examine the relationships between price limit changes and market quality in the Chinese stock market. We set up five boards in the model and adopt the current price limits of the A-share market. In terms of experimental design, this paper adjusts the price limit to explore the path of the reform of the price limit. We also cancel the price limit to explore the necessity of price limits in China’s A-share market. After simulations, the experimental results of this paper show that relaxing the price limit will improve market quality. When we adjust the price limit from 10% to 20%, market volatility increases slightly, market liquidity increases and market pricing efficiency improves. When we cancel the price limit, market volatility increases significantly, market liquidity increases and market pricing efficiency decreases significantly. Our study shows that it is necessary to implement the price limit policy in the Chinese market, and a moderate relaxation of the price range will improve the quality of the market.

Suggested Citation

  • Xiong Xiong & Jinchi Liu & Zonghang Yang & Jiatong Han, 2022. "An Agent-Based Model for the Impact of Price Limit Changes on Market Quality," International Journal of Information Technology & Decision Making (IJITDM), World Scientific Publishing Co. Pte. Ltd., vol. 21(06), pages 1777-1795, December.
    • Handle: RePEc:wsi:ijitdm:v:21:y:2022:i:06:n:s0219622022500286
    DOI: 10.1142/S0219622022500286
    as

    Download full text from publisher

    File URL: http://www.worldscientific.com/doi/abs/10.1142/S0219622022500286
    Download Restriction: Access to full text is restricted to subscribers
    File URL: https://libkey.io/10.1142/S0219622022500286?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Huang, Wenli & Zhou, Fengbo & Yu, Chenkang & Hu, Yue & Zhang, Hong & Xu, Yueling, 2023. "Momentum effect and contrarian effect in China's A-share market, under registration-based system," Pacific-Basin Finance Journal, Elsevier, vol. 81(C).

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:wsi:ijitdm:v:21:y:2022:i:06:n:s0219622022500286. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Tai Tone Lim (email available below). General contact details of provider: http://www.worldscinet.com/ijitdm/ijitdm.shtml .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.