價格漲跌幅限制改變對資訊相關個股之影響

Abstract

This paper uses Taiwan Stock Exchange (TSE) data from February to Septmember, 2015 to examine liquidity and price impact on informationally related stocks when price limit hits constrain trading in a stock in the same industry and focus on the strengthen of liquidity impact before and after the range of different price limit. We find that liquidity impact in higher degree of price limits is significantly stronger than lower degree of price limits. We find that substitution effect is stronger in higher degree of price limits. We find that price reversal in the short term of informationally related stocks during price limit hits.

This paper uses Taiwan Stock Exchange (TSE) data from February to Septmember, 2015 to examine liquidity and price impact on informationally related stocks when price limit hits constrain trading in a stock in the same industry and focus on the strengthen of liquidity impact before and after the range of different price limit. We find that liquidity impact in higher degree of price limits is significantly stronger than lower degree of price limits. We find that substitution effect is stronger in higher degree of price limits. We find that price reversal in the short term of informationally related stocks during price limit hits.