Price Limits on Daily Price Fluctuation driven by new information or by price manipulation?

摘要：

The paper classified two causes make the stock price to the up-limit broad. They are new information or price manipulation. Utilizing the high frequency stock data, we statistically analyzes various factors impact the second day’s stock price return after the stock up to the limit broad. We empirically verify the stock price’s different behaviors respectively caused by new information or price manipulation. According to our conclusion, we propose advises to improve Chinese Stock Price Limit System.

关键词： Price Limits Policy Price Manipulation Trading Volume

作者: Ju Xinhua Sun Wenlong

作者单位: Glorious Sun School of Business and Management, Donghua University, China

会议类型: 国际会议

会议名称: The Ninth Wuhan International Conference on E-Business(第九届武汉电子商务国际会议)

会议地点: 武汉

会议语种:英文

页码: 1076-1081

在线出版日期: 2010-05-29（万方平台首次上网日期，不代表论文的发表时间）