Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/303733 
Erscheinungsjahr: 
2022
Quellenangabe: 
[Journal:] Cogent Economics & Finance [ISSN:] 2332-2039 [Volume:] 10 [Issue:] 1 [Article No.:] 2106635 [Year:] 2022 [Pages:] 1-28
Verlag: 
Taylor & Francis, Abingdon
Zusammenfassung: 
We construct a difference-in-differences simultaneous equation to study the long-term impact of price limit system on the comprehensive quality of the stock market. Moreover, we use event study method to further test short-term effect. 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 liquidity and market efficiency, in the short term, it could cause trading interference effect and price discovery delay effect; nonetheless, it could stabilize volatility and suppress volatility spillover effect.
Schlagwörter: 
price limit system
comprehensive quality of stock market
difference-indifferences simultaneous model
event study method
long-term and short-term effects
JEL: 
G10
G14
G18
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