Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
958462 | Journal of Empirical Finance | 2009 | 8 Pages |
Abstract
We investigate the magnet effect of price limits using transaction data from the Taiwan Stock Exchange. A logit model incorporates explanatory variables from microstructure literature and reveals that the conditional probability of a price increase (decrease) increases significantly when the price approaches the upper (lower) price limit, in support of the magnet effect. Our approach recognizes when the magnet effect starts to emerge and identifies possible determinants of magnet effect. The probability of information-based trading has a significant impact on the magnet effect for lower price limits.
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Ping-Hung Hsieh, Yong H. Kim, J. Jimmy Yang,