We investigate the cooling-off effect of price limits using transactions data from the Taiwan Stock Exchange. We identify three different limit hits: closing, single, and
consecutive. The cooling-off hypothesis is only supported for consecutive limit hits. That is, price limits provide a cooling-off period for investors to reevaluate market information and make more rational trading decisions when limits are hit consecutively. Our overall results generate important policy implications for the majority of the world’s stock markets.
학회 소식
공지사항
[2005년 제 2차] Cooling-Off Effect of Price Limits : Evidence from
작성자 : 관리자
조회수 : 1062
게시일 :
2005-06-03