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政大機構典藏 > 商學院 > 財務管理學系 > 期刊論文 > Item 140.119/6103

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/6103

Title:	The Intraday Stock Return Characteristics Surrounding Price Limit Hits
Authors:	李志宏;周冠男 Lee, Jie-Haun;Chou, Robin K.
Keywords:	Information asymmetry;Price limits;Pricing errors;Return dynamics
Date:	2004
Issue Date:	2008-11-05 16:55:29 (UTC+8)
Abstract:	We extend the existing studies on price limits by testing the return characteristics surrounding intraday price limits. We exclude limit hits that last through end of the day (interday limit hits) and consider the pre-event directions of price movements, as well as firm size. A set of stocks that experience large price changes but do not hit the limits is identified as controlled samples. Comparing the hit and non-hit samples, we show that intraday price limits do not seem to have strong influences on the return dynamics. Directions of pre-event price movements are more important in explaining the return characteristics and firm size is also found to affect the intraday return dynamics.
Relation:	Journal of Multinational Financial Management, 14(4/5), 485-501
Data Type:	article
DOI 連結:	http://dx.doi.org/10.1016/j.mulfin.2004.02.004
DOI:	10.1016/j.mulfin.2004.02.004
Appears in Collections:	[財務管理學系] 期刊論文

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