Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
963158 | Journal of International Financial Markets, Institutions and Money | 2014 | 25 Pages |
Abstract
This paper examines the effectiveness, cause and impact of price limits by comparing cross-listed Chinese stocks in China (A shares), Hong Kong (H shares) and New York (N shares). Price limit is found to have some effectiveness in preventing price continuation, but is ineffective in that the findings confirm volatility spillover and trading interference hypotheses from Kim and Rhee (1997). International news and corporate level news are both found to have significant impact on the abnormal returns of the A shares during or after the price limit hits, especially for upper limit hits.
Keywords
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Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Huimin Li, Dazhi Zheng, Jun Chen,