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    政大機構典藏 > 商學院 > 財務管理學系 > 期刊論文 >  Item 140.119/61545
    Please use this identifier to cite or link to this item: http://nccur.lib.nccu.edu.tw/handle/140.119/61545

    Title: What Affects the Cool-off Duration under Price Limits?
    Authors: 周冠男
    Choua, Pin-Huang;Choub, Robin K.;Kod, Kuan-Cheng;Chaoa, Chun-Yi
    Contributors: 財管系
    Keywords: Price limits;Limit-hit duration;Magnet effect;Censoring
    Date: 2013.01
    Issue Date: 2013-11-11 09:35:57 (UTC+8)
    Abstract: 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.
    Relation: Pacific Basin Finance Journal
    Data Type: article
    DOI 連結: http://dx.doi.org/10.1016/j.pacfin.2013.01.004
    DOI: 10.1016/j.pacfin.2013.01.004
    Appears in Collections:[財務管理學系] 期刊論文

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