Price Limit, Information Asymmetry and Auction Behavior: An Experimental Research
This is an experimental economics research. There are different views on the effect of price limit mechanism .The object of this paper is to study the influence of price limit on trading behavior and information efficiency in stock market. Our experiment design is based on Krahnen(1999) and revised by us according to the trading mechanism in China stock market. Our four experiments include two experiments with price limit and two without price limit. The experimental results indicate: 1.Price limit weakens the function of private information on informed traders’ quote behavior; 2.The information efficiency is influenced by the asset value volatility;3.When there has no price limit ,the thinking mode of investors is tend to be rational, while there has price limit, it tends to be short-lived.
Experimental Economics Financial Experiment Price limit Trading behavior
曹晓华 孙培源 敬志勇 郭剑光
上海交通大学管理学院,200052 深圳证券交易所,518010 上海师范大学商学院,200234 中央财经大学金融学院,100081
国际会议
昆明
英文
2005-07-05（万方平台首次上网日期，不代表论文的发表时间）