Price Limit Performance: Evidence from transactions data and the limit order book

• المؤلفون الرئيسيون: CHAN, Soon Huat, Kim, Kenneth A., Rhee, S. Ghon
• التنسيق: text
• اللغة: English
• منشور في: Institutional Knowledge at Singapore Management University 2005
• الموضوعات: Price limit; Information asymmetry; Informed traders; Order imbalance; Kuala Lumpur Stock Exchange; Finance and Financial Management; Portfolio and Security Analysis
• الوصول للمادة أونلاين: https://ink.library.smu.edu.sg/lkcsb_research/2971; https://ink.library.smu.edu.sg/context/lkcsb_research/article/3970/viewcontent/PriceLimitPerformance_pv.pdf

In recent years, organized stock exchanges with daily price limits adopted wider limits as narrower limits were criticized for jeopardizing market efficiency. This study examines the impact of a wide price limit on price discovery processes, using data from the Kuala Lumpur Stock Exchange. Specifica...