文献类型：期刊文献

英文题名：The cooling-off effect of price limits in the Chinese stock markets

作者：Wan, Yu-Lei[1,2];Wang, Gang-Jin[3,4];Jiang, Zhi-Qiang[2,5];Xie, Wen-Jie[2,5];Zhou, Wei-Xing[1,2,5]

机构：[1]East China Univ Sci & Technol, Dept Math, Shanghai 200237, Peoples R China;[2]East China Univ Sci & Technol, Res Ctr Econophys, Shanghai 200237, Peoples R China;[3]Hunan Univ, Coll Business Adm, Changsha 410082, Hunan, Peoples R China;[4]Hunan Univ, Ctr Finance & Investment Management, Changsha 410082, Hunan, Peoples R China;[5]East China Univ Sci & Technol, Dept Finance, Shanghai 200237, Peoples R China

年份：2018

卷号：505

起止页码：153

外文期刊名：PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS

收录：;EI(收录号：20181404982461);WOS:【SCI-EXPANDED(收录号:WOS:000437061000015)】；

基金：This work was partially supported by the National Natural Science Foundation of China (71671066), and the Fundamental Research Funds for the Central Universities, China (222201718006).

语种：英文

外文关键词：Price limits; Cooling-off effect; Magnet effect; Logit model

摘要：The price limit trading rule is one of the most widely adopted measures on restricting stock price volatilities in some stock markets. It is expected to stabilize the stock markets and enhance the efficiency of the market allocations. The existence of the cooling-off effect or the magnet effect, induced by the price limit trading rule, is the main controversy of this policy. In this paper, we investigate the cooling-off effect (opposite to the magnet effect) from two aspects. Firstly, from the viewpoint of dynamics, we study the existence of the cooling-off effect by following the dynamical evolution of some financial variables over a period of time before the stock price hits its limit. Secondly, from the probability perspective, we investigate, with the logit model, the existence of the cooling-off effect through analyzing the high-frequency data of all A-share common stocks traded on the Shanghai Stock Exchange and the Shenzhen Stock Exchange from 2000 to 2011 and inspecting the trading period from the opening phase prior to the moment that the stock price hits its limits. A comparison is made of the properties between up-limit hits and down-limit hits, and the possible difference will also be compared between bullish and bearish market state by dividing the whole period into three alternating bullish periods and three bearish periods. We find that the cooling-off effect emerges for both up-limit hits and down-limit hits, and the cooling-off effect of the down-limit hits is stronger than that of the up-limit hits. The difference of the cooling-off effect between bullish period and bearish period is quite modest. Moreover, we examine the sub-optimal orders effect, and infer that the professional individual investors and institutional investors play a positive role in the cooling-off effects. All these findings indicate that the price limit trading rule exerts a positive effect on maintaining the stability of the Chinese stock markets. (C) 2018 Elsevier B.V. All rights reserved.