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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: https://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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