کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5100695 1478931 2017 69 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Limit hits and informationally-related stocks
ترجمه فارسی عنوان
محدود کردن بازدید و سهام مربوط به اطلاعات
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
چکیده انگلیسی
We propose a method of propensity score matching to study limit hits on connected TWSE-listed stocks across industries between 1/1/2004 and 12/31/2013. The findings show significant liquidity and price impacts on connected stocks. We demonstrate that informed traders may trade connected stocks as a substitution for the hitting stock, and connected stocks seem to provide alternatives for uninformed traders to reverse their suboptimal trades even prior to the hit. In addition, our results indicate that liquidity impacts of limit hits with less information asymmetry are weaker and there is a common liquidity response of connected stocks to firm-specific limit hits.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Financial Markets - Volume 34, June 2017, Pages 31-47
نویسندگان
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