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

被引：0
|
作者：
Ju Xinhua [1 ]
Sun Wenlong [1 ]
机构：
[1] Donghua Univ, Glorious Sun Sch Business & Management, Shanghai, Peoples R China
来源：
NINTH WUHAN INTERNATIONAL CONFERENCE ON E-BUSINESS, VOLS I-III | 2010年
关键词：
Price Limits Policy; Price Manipulation; Trading Volume; CIRCUIT-BREAKERS; MARKET CRASHES;
D O I：
暂无
中图分类号：
F [经济];
学科分类号：
02 ;
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.
引用
收藏
页码：1076 / 1081
页数：6
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