The impact of price limit system on the comprehensive quality of the stock market: Research on long-term and short-term effects based on submarkets

Autor:	Zhuwei Li, Xiaoshan Wang, Chenyang Kang
Jazyk:	angličtina
Rok vydání:	2022
Předmět:	price limit system comprehensive quality of stock market difference-in-differences simultaneous model event study method long-term and short-term effects G10 Finance HG1-9999 Economic theory. Demography HB1-3840
Zdroj:	Cogent Economics & Finance, Vol 10, Iss 1 (2022)
Druh dokumentu:	article
ISSN:	23322039 2332-2039
DOI:	10.1080/23322039.2022.2106635
Popis:	We construct a difference-in-differences simultaneous equation to study the long-term impact of price limit system on the comprehensive quality of the stock market. Moreover, we use event study method to further test short-term effect. Results show that after the setting of price limit system in China, the quality of total market and the Shenzhen stock market improves to a certain extent. But for the Shanghai stock market, in the long term, the setting of price limit system can reduce liquidity and market efficiency, in the short term, it could cause trading interference effect and price discovery delay effect; nonetheless, it could stabilize volatility and suppress volatility spillover effect.
Databáze:	Directory of Open Access Journals
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