文献类型：期刊文献

英文题名：Post-hit dynamics of price limit hits in the Chinese stock markets

作者：Wu, Ting[1,2,3];Wang, Yue[1];Li, Ming-Xia[1,3,4]

机构：[1]East China Univ Sci & Technol, Res Inst Sports Econ, Shanghai 200237, Peoples R China;[2]East China Univ Sci & Technol, Sch Business, Shanghai 200237, Peoples R China;[3]East China Univ Sci & Technol, Res Ctr Econophys, Shanghai 200237, Peoples R China;[4]East China Univ Sci & Technol, Postdoctoral Res Stn, Shanghai 200237, Peoples R China

年份：2017

卷号：465

起止页码：464

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

收录：;EI(收录号：20163702809260);WOS:【SSCI(收录号:WOS:000386411700044)，SCI-EXPANDED(收录号:WOS:000386411700044)】；

基金：We thank Prof. Wei-Xing Zhou and Prof. Fu-Tie Song for fruitful discussion. This work was supported by the Fundamental Research Funds for the Central Universities.

语种：英文

外文关键词：Expected profit; Limit hit; Stock return; Correlation

摘要：Price limit trading rules are useful to cool off traders short-term trading mania on individual stocks. The price dynamics approaching the limit boards are known as the magnet effect. However, the price dynamics after opening price limit hits are not well investigated. Here, we provide a detailed analysis on the price dynamics after the. hits of up-limit or down limit is open based on all A-share stocks traded in the Chinese stock markets. A "W" shape is found in the expected return, which reveals high probability of a continuous price limit hit on the following day. We also find that price dynamics after opening limit hits are dependent on the market trends. The time span of continuously hitting the price limit is found to an influence factor of the expected profit after the limit hit is open. Our analysis provides a better understanding of the price dynamics around the limit boards and contributes potential practical values for investors. (C) 2016 Elsevier B.V. All rights reserved.