PRICE LIMIT AND STOCK VOLATILITY IN CHINA DURING FINANCIAL CRISES

This paper explores the effects of price limits on the Chinese A-share stock markets during financial crises. A Logit regression model is estimated to investigate the characteristics of stocks that hit the price limits more frequently under economic turmoil. It is found that the price limit system increased volatility significantly, especially in the downward price movement. Moreover, price limit delays the efficient price discovery for upward and downward price movements. Finally, actively traded stocks with a higher positive correlation with the entire market in the property industry hit the price limits more frequently