We construct a difference-in-differences simultaneous equation to study the long-term impact of price limit system on …. Results show that after the setting of price limit system in China, the quality of total market and the Shenzhen stock market … improves to a certain extent. But for the Shanghai stock market, in the long term, the setting of price limit system can reduce …

We construct a difference-in-differences simultaneous equation to study the long-term impact of price limit system on …. Results show that after the setting of price limit system in China, the quality of total market and the Shenzhen stock market … improves to a certain extent. But for the Shanghai stock market, in the long term, the setting of price limit system can reduce …

We propose an empirical behavioral order-driven (EBOD) model with price limit rules, which consists of an order … price to diverge exponentially when the up price limit is higher than the down price limit and to vanish vice versa. We also …

limit system increases volatility significantly during the downward price movement. Moreover, price limit delays the … characteristics of stocks that hit the price limits more frequently under market turmoil are investigated. It is found that the price …

transactions. We also find that: (i) a narrower price limit exhibits higher acceleration rates in all five variables compared to a … wider price limit; and (ii) the upper limit hits draw heavier volumes of transactions, order submissions and market orders … than the lower limit hits. We confirm that the magnet effect is a phenomenon unique only to markets with daily price limit …