We propose an empirical behavioral order-driven(EBOD)model with price limit rules,which consists of an order placement process and an order cancellation process.All the ingredients of the model are determined based on...We propose an empirical behavioral order-driven(EBOD)model with price limit rules,which consists of an order placement process and an order cancellation process.All the ingredients of the model are determined based on the empirical microscopic regularities in the order flows of stocks traded on the Shenzhen Stock Exchange.The model can reproduce the main stylized facts in real markets.Computational experiments unveil that asymmetric setting of price limits will cause the stock price to diverge exponentially when the up price limit is higher than the down price limit and to vanish vice versa.We also find that asymmetric price limits have little influence on the correlation structure of the return series and the volatility series,but cause remarkable changes in the average returns and the tail exponents of returns.Our EBOD model provides a suitable computational experiment platform for academics,market participants,and policy makers.展开更多
The mechanism of price limit impacts on informed traders’ behavior. To find out what effects related to price limit, three hypotheses caused by price limit are analyzed. Comprehensive method of event study and compar...The mechanism of price limit impacts on informed traders’ behavior. To find out what effects related to price limit, three hypotheses caused by price limit are analyzed. Comprehensive method of event study and comparative grouping is used to test the performance of price limit in Chinese stock market. The result of test indicates that price limit policy impedes fulfillment of traders and delays the discovery of stock price so it should be abolished.展开更多
Previous literature on price limit offers mixed empirical evidence on the effectiveness of price limits.This study complements the literature by providing a quasi-natural experiment to study the performance of price l...Previous literature on price limit offers mixed empirical evidence on the effectiveness of price limits.This study complements the literature by providing a quasi-natural experiment to study the performance of price limit. We examine the effectiveness of price limit rule using cross-listed stocks in the Chinese stock markets and Hong Kong stock market. We find that the influence of price limit becomes weaker as limit-hitting stocks are traded more actively. Among stocks with high trading activity, the delay of efficient price discovery, the volatility spillover and the trading interference become statistically insignificant. This challenges the views of price limit critics. Additionally, we find that the effect of price limits on the trading is asymmetric for A-shares in the upward and downward price movements.展开更多
The paper presents a valuation model of futures options trading at exchanges with initial margin requirements and daily price limit, and this result gives an academic guidance to design trading rules at exchanges. Unl...The paper presents a valuation model of futures options trading at exchanges with initial margin requirements and daily price limit, and this result gives an academic guidance to design trading rules at exchanges. Unlike the leading work of Black, certain trading rules are considered so as to be more fit for practical futures markets. The paper prices futures options with initial margin requirements and daily price limit by duplicating them with the help of the theory of backward stochastic differential equations （BSDEs, for short）. Furthermore, an explicit expression of the price Of the call （or the put） futures option is given and also is shown to be the unique solution of the associated nonlinear partial differential equation.展开更多
基金This work was supported by the National Natural Science Foundation of China(Grants Nos.U1811462,71671066,and 71532009)the Fundamental Research Funds for the Central Universities.
文摘We propose an empirical behavioral order-driven(EBOD)model with price limit rules,which consists of an order placement process and an order cancellation process.All the ingredients of the model are determined based on the empirical microscopic regularities in the order flows of stocks traded on the Shenzhen Stock Exchange.The model can reproduce the main stylized facts in real markets.Computational experiments unveil that asymmetric setting of price limits will cause the stock price to diverge exponentially when the up price limit is higher than the down price limit and to vanish vice versa.We also find that asymmetric price limits have little influence on the correlation structure of the return series and the volatility series,but cause remarkable changes in the average returns and the tail exponents of returns.Our EBOD model provides a suitable computational experiment platform for academics,market participants,and policy makers.
基金Acknowledgements： This research is supported in part by National Nature Science Foundation of China （No. 70672029 and 70532001）, project of key base for studies of social science of Ministry of Education of China （No. 05JJD630023）, Social Science Foundation of Tianjin （No. TJ05-GL004）, base for innovation of Philosophy and Social Science 985 Project-＂Management and institution innovation of Corporate in China＂ item.
基金National Nature Science Foundation (04104007,60323043,60293061)
文摘The mechanism of price limit impacts on informed traders’ behavior. To find out what effects related to price limit, three hypotheses caused by price limit are analyzed. Comprehensive method of event study and comparative grouping is used to test the performance of price limit in Chinese stock market. The result of test indicates that price limit policy impedes fulfillment of traders and delays the discovery of stock price so it should be abolished.
文摘Previous literature on price limit offers mixed empirical evidence on the effectiveness of price limits.This study complements the literature by providing a quasi-natural experiment to study the performance of price limit. We examine the effectiveness of price limit rule using cross-listed stocks in the Chinese stock markets and Hong Kong stock market. We find that the influence of price limit becomes weaker as limit-hitting stocks are traded more actively. Among stocks with high trading activity, the delay of efficient price discovery, the volatility spillover and the trading interference become statistically insignificant. This challenges the views of price limit critics. Additionally, we find that the effect of price limits on the trading is asymmetric for A-shares in the upward and downward price movements.
基金Supported by National Natural Science Foundation of China (Grant Nos. 10701050, 10426022)Shandong Province (Grant No. Q2007A04), Postdoctoral Science Foundation of Shanghai (Grant No. 06R214121) National Basic Research Program of China (973 Program) (Grant No. 2007CB814904)
文摘The paper presents a valuation model of futures options trading at exchanges with initial margin requirements and daily price limit, and this result gives an academic guidance to design trading rules at exchanges. Unlike the leading work of Black, certain trading rules are considered so as to be more fit for practical futures markets. The paper prices futures options with initial margin requirements and daily price limit by duplicating them with the help of the theory of backward stochastic differential equations （BSDEs, for short）. Furthermore, an explicit expression of the price Of the call （or the put） futures option is given and also is shown to be the unique solution of the associated nonlinear partial differential equation.
