What affects the cool-off duration under price limits?

NCUIR > School of Management at National Central University > Department of Finance > journal & Dissertation > Item 987654321/105069

Please use this identifier to cite or link to this item: https://ir.lib.ncu.edu.tw/handle/987654321/105069

Title:	What affects the cool-off duration under price limits?
Authors:	周賓凰;Chou, Pin-Huang;Chou, Robin K.;Ko, Kuan-Cheng;Chao, Chun-Yi
Contributors:	管理學院財務金融學系
Keywords:	Censoring;Limit-hit duration;Magnet effect;Price limits
Date:	2013-09-01
Issue Date:	2026-04-23 12:06:00 (UTC+8)
Publisher:	Elsevier;Elsevier B.V
Abstract:	摘要： Price limits supposedly provide a cool-off period that allows investors to reassess the market conditions. They represent an implementation risk, a special form of arbitrage risk, that impedes arbitrageurs from engaging in arbitrage activities to correct for potential mispricing. We conjecture that the cool-off period would be lengthier for stocks that are subject to higher degrees of arbitrage risk and investor sentiment, and that the effect of arbitrage risk is stronger in up-limit hits because of higher short-sale restriction involved. Based on a sample of intraday data from the Taiwan Stock Exchange, we find that stocks with smaller capitalizations and higher idiosyncratic risk tend to have longer limit-hit durations, consistent with the behavioral argument. The empirical results have important policy implications for stock market regulations. ► This paper empirically examines the determinants of limit-hit durations. ► Based on the theories on arbitrage risk, we propose three behavioral hypotheses. ► Small cap and high idiosyncratic-risk stocks have longer limit-hit durations. ► Empirical evidence indicates that limit hits are affected by behavioral forces. 出版者： Elsevier B.V 出版日期： 2013-09-01 出處： Pacific-Basin finance journal, 2013-09, Vol.24, p.256-278 資源來源： Elsevier ScienceDirect Journals Complete 版權： 2013 Elsevier B.V. 識別號： ISSN: 0927-538X 識別號： EISSN: 1879-0585 識別號： DOI: 10.1016/j.pacfin.2013.01.004
Appears in Collections:	[Department of Finance] journal & Dissertation

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