政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/61545

English | 正體中文 | 简体中文 | Post-Print筆數 : 27 | Items with full text/Total items : 113648/144635 (79%)
Visitors : 51577336 Online Users : 951

RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.

Home ‧ Login ‧ Upload ‧ Help ‧ About ‧ Administer

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

Files in This Item:

File	Description	Size	Format
123.pdf		358Kb	Adobe PDF2	1305	View/Open

社群 sharing

著作權政策宣告 Copyright Announcement

1.本網站之數位內容為國立政治大學所收錄之機構典藏，無償提供學術研究與公眾教育等公益性使用，惟仍請適度，合理使用本網站之內容，以尊重著作權人之權益。商業上之利用，則請先取得著作權人之授權。
The digital content of this website is part of National Chengchi University Institutional Repository. It provides free access to academic research and public education for non-commercial use. Please utilize it in a proper and reasonable manner and respect the rights of copyright owners. For commercial use, please obtain authorization from the copyright owner in advance.

2.本網站之製作，已盡力防止侵害著作權人之權益，如仍發現本網站之數位內容有侵害著作權人權益情事者，請權利人通知本網站維護人員(nccur@nccu.edu.tw)，維護人員將立即採取移除該數位著作等補救措施。
NCCU Institutional Repository is made to protect the interests of copyright owners. If you believe that any material on the website infringes copyright, please contact our staff(nccur@nccu.edu.tw). We will remove the work from the repository and investigate your claim.

Loading...