The Effects of Price Limits on Informed Trading Strategies and Market Performances
博士 === 國立中山大學 === 財務管理學系研究所 === 96 === This paper investigates the effect of price limits on strategically informed trading and market performances. We show that a price limit will increase the costs of liquidity traders and volatility spillover by its ex ante effects on strategically informed tradi...
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ndltd-TW-096NSYS53050112018-05-16T04:25:23Z http://ndltd.ncl.edu.tw/handle/fgmhf5 The Effects of Price Limits on Informed Trading Strategies and Market Performances 停板限制對資訊交易策略和市場績效之影響 Shu-fan Hsieh 謝舒帆 博士 國立中山大學 財務管理學系研究所 96 This paper investigates the effect of price limits on strategically informed trading and market performances. We show that a price limit will increase the costs of liquidity traders and volatility spillover by its ex ante effects on strategically informed trading. Our study differs from prior research by focusing on informed traders’ strategies and information competitiveness. With long-lived information or less information competitiveness, the price limit rule encourages stealthily informed trading, distorts the price dynamics and increases the trading costs of small liquidity traders. Volatility subsequent to a limit-hit is also increased. By using the listed firms in the Taiwan Stock Exchange, we provide empirical evidences that informed traders switch to trade with small orders when they encounter a price limit and volatility spillover exists. Furthermore, this negative effect is more sever for those stocks with less information competitiveness. Our findings suggest that the ex ante effects of price limits on market performances may be contrary to what the stabilizing mechanism is intended to achieve, especially for those firms with less information competitiveness. Tai Ma David S. Shyu 馬黛 徐守德 2008 學位論文 ; thesis 116 en_US |
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博士 === 國立中山大學 === 財務管理學系研究所 === 96 === This paper investigates the effect of price limits on strategically informed trading and market performances. We show that a price limit will increase the costs of liquidity traders and volatility spillover by its ex ante effects on strategically informed trading. Our study differs from prior research by focusing on informed traders’ strategies and information competitiveness. With long-lived information or less information competitiveness, the price limit rule encourages stealthily informed trading, distorts the price dynamics and increases the trading costs of small liquidity traders. Volatility subsequent to a limit-hit is also increased. By using the listed firms in the Taiwan Stock Exchange, we provide empirical evidences that informed traders switch to trade with small orders when they encounter a price limit and volatility spillover exists. Furthermore, this negative effect is more sever for those stocks with less information competitiveness. Our findings suggest that the ex ante effects of price limits on market performances may be contrary to what the stabilizing mechanism is intended to achieve, especially for those firms with less information competitiveness.
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author2 |
Tai Ma |
author_facet |
Tai Ma Shu-fan Hsieh 謝舒帆 |
author |
Shu-fan Hsieh 謝舒帆 |
spellingShingle |
Shu-fan Hsieh 謝舒帆 The Effects of Price Limits on Informed Trading Strategies and Market Performances |
author_sort |
Shu-fan Hsieh |
title |
The Effects of Price Limits on Informed Trading Strategies and Market Performances |
title_short |
The Effects of Price Limits on Informed Trading Strategies and Market Performances |
title_full |
The Effects of Price Limits on Informed Trading Strategies and Market Performances |
title_fullStr |
The Effects of Price Limits on Informed Trading Strategies and Market Performances |
title_full_unstemmed |
The Effects of Price Limits on Informed Trading Strategies and Market Performances |
title_sort |
effects of price limits on informed trading strategies and market performances |
publishDate |
2008 |
url |
http://ndltd.ncl.edu.tw/handle/fgmhf5 |
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