文献类型：期刊文献

英文题名：Statistical Properties and Pre-Hit Dynamics of Price Limit Hits in the Chinese Stock Markets

作者：Wan, Yu-Lei[1,2];Xie, Wen-Jie[2,3,4];Gu, Gao-Feng[2,3];Jiang, Zhi-Qiang[2,3];Chen, Wei[5];Xiong, Xiong[6,7];Zhang, Wei[6,7];Zhou, Wei-Xing[1,2,3]

机构：[1]E China Univ Sci & Technol, Sch Sci, Dept Math, Shanghai 200237, Peoples R China;[2]E China Univ Sci & Technol, Res Ctr Econophys, Shanghai 200237, Peoples R China;[3]E China Univ Sci & Technol, Sch Business, Dept Finance, Shanghai 200237, Peoples R China;[4]E China Univ Sci & Technol, Sch Social & Publ Adm, Postdoctoral Res Stn, Shanghai 200237, Peoples R China;[5]Shenzhen Stock Exchange, Shenzhen 518010, Peoples R China;[6]Tianjin Univ, Coll Management & Econ, Tianjin 300072, Peoples R China;[7]Tianjin Univ, China Ctr Social Comp & Analyt, Tianjin 300072, Peoples R China

年份：2015

卷号：10

期号：4

外文期刊名：PLOS ONE

收录：;WOS:【SSCI(收录号:WOS:000352845100021)，SCI-EXPANDED(收录号:WOS:000352845100021)】；

基金：Funding was provided by the National Natural Science Foundation of China, grant No. 11075054 (WXZ), grant No. 71072007 (WC), grant No. 71101052 (GFG), and grant No. 71131007 (XX WZ), http://www.nsfc.gov.cn/; Program for Changjiang Scholars and Innovative Research Team in University under grant No. IRT1028 (XX WZ), http://www.moe.edu.cn/publicfiles/business/htmlfiles/moe/moe_263/index.html; and Shanghai "Chen Guang" Project under grant No. 2012CG34 (ZQJ), http://www.shmec.gov.cn/web/xxgk/rows_list.php?node_code=41212. The funders had no role in study design, data collection and analysis, decision to publish, or preparation of the manuscript. Shenzhen Stock Exchange provided support in the form of salary for author WC, but did not have any additional role in the study design, data collection and analysis, decision to publish, or preparation of the manuscript. The specific roles of these authors are articulated in the "author contributions" section.

语种：英文

摘要：Price limit trading rules are adopted in some stock markets (especially emerging markets) trying to cool off traders' short-term trading mania on individual stocks and increase market efficiency. Under such a microstructure, stocks may hit their up-limits and down-limits from time to time. However, the behaviors of price limit hits are not well studied partially due to the fact that main stock markets such as the US markets and most European markets do not set price limits. Here, we perform detailed analyses of 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 to investigate the statistical properties of price limit hits and the dynamical evolution of several important financial variables before stock price hits its limits. We compare the properties of up-limit hits and down-limit hits. We also divide the whole period into three bullish periods and three bearish periods to unveil possible differences during bullish and bearish market states. To uncover the impacts of stock capitalization on price limit hits, we partition all stocks into six portfolios according to their capitalizations on different trading days. We find that the price limit trading rule has a cooling-off effect (object to the magnet effect), indicating that the rule takes effect in the Chinese stock markets. We find that price continuation is much more likely to occur than price reversal on the next trading day after a limit-hitting day, especially for down-limit hits, which has potential practical values for market practitioners.