What affects the cool-off duration under price limits?

Pin Huang Chou, Robin K. Chou, Kuan Cheng Ko, Chun Yi Chao

研究成果: 雜誌貢獻期刊論文同行評審

15 引文 斯高帕斯(Scopus)

摘要

Price limits supposedly provide a cool-off period that allows investors to reassess the market conditions. They represent an implementation risk, a special form of arbitrage risk, that impedes arbitrageurs from engaging in arbitrage activities to correct for potential mispricing. We conjecture that the cool-off period would be lengthier for stocks that are subject to higher degrees of arbitrage risk and investor sentiment, and that the effect of arbitrage risk is stronger in up-limit hits because of higher short-sale restriction involved. Based on a sample of intraday data from the Taiwan Stock Exchange, we find that stocks with smaller capitalizations and higher idiosyncratic risk tend to have longer limit-hit durations, consistent with the behavioral argument. The empirical results have important policy implications for stock market regulations.

原文???core.languages.en_GB???
頁(從 - 到)256-278
頁數23
期刊Pacific Basin Finance Journal
24
DOIs
出版狀態已出版 - 9月 2013

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