Cargando…
Are Price Limits Effective? An Examination of an Artificial Stock Market
We investigated the inter-day effects of price limits policies that are employed in agent-based simulations. To isolate the impact of price limits from the impact of other factors, we built an artificial stock market with higher frequency price limits hitting. The trading mechanisms in this market a...
Autores principales: | , , , , |
---|---|
Formato: | Online Artículo Texto |
Lenguaje: | English |
Publicado: |
Public Library of Science
2016
|
Materias: | |
Acceso en línea: | https://www.ncbi.nlm.nih.gov/pmc/articles/PMC4981392/ https://www.ncbi.nlm.nih.gov/pubmed/27513330 http://dx.doi.org/10.1371/journal.pone.0160406 |
_version_ | 1782447606242213888 |
---|---|
author | Zhang, Xiaotao Ping, Jing Zhu, Tao Li, Yuelei Xiong, Xiong |
author_facet | Zhang, Xiaotao Ping, Jing Zhu, Tao Li, Yuelei Xiong, Xiong |
author_sort | Zhang, Xiaotao |
collection | PubMed |
description | We investigated the inter-day effects of price limits policies that are employed in agent-based simulations. To isolate the impact of price limits from the impact of other factors, we built an artificial stock market with higher frequency price limits hitting. The trading mechanisms in this market are the same as the trading mechanisms in China’s stock market. Then, we designed a series of simulations with and without price limits policy. The results of these simulations demonstrate that both upper and lower price limits can cause a volatility spillover effect and a trading interference effect. The process of price discovery will be delayed if upper price limits are imposed on a stock market; however, this phenomenon does not occur when lower price limits are imposed. |
format | Online Article Text |
id | pubmed-4981392 |
institution | National Center for Biotechnology Information |
language | English |
publishDate | 2016 |
publisher | Public Library of Science |
record_format | MEDLINE/PubMed |
spelling | pubmed-49813922016-08-29 Are Price Limits Effective? An Examination of an Artificial Stock Market Zhang, Xiaotao Ping, Jing Zhu, Tao Li, Yuelei Xiong, Xiong PLoS One Research Article We investigated the inter-day effects of price limits policies that are employed in agent-based simulations. To isolate the impact of price limits from the impact of other factors, we built an artificial stock market with higher frequency price limits hitting. The trading mechanisms in this market are the same as the trading mechanisms in China’s stock market. Then, we designed a series of simulations with and without price limits policy. The results of these simulations demonstrate that both upper and lower price limits can cause a volatility spillover effect and a trading interference effect. The process of price discovery will be delayed if upper price limits are imposed on a stock market; however, this phenomenon does not occur when lower price limits are imposed. Public Library of Science 2016-08-11 /pmc/articles/PMC4981392/ /pubmed/27513330 http://dx.doi.org/10.1371/journal.pone.0160406 Text en © 2016 Zhang et al http://creativecommons.org/licenses/by/4.0/ This is an open access article distributed under the terms of the Creative Commons Attribution License (http://creativecommons.org/licenses/by/4.0/) , which permits unrestricted use, distribution, and reproduction in any medium, provided the original author and source are credited. |
spellingShingle | Research Article Zhang, Xiaotao Ping, Jing Zhu, Tao Li, Yuelei Xiong, Xiong Are Price Limits Effective? An Examination of an Artificial Stock Market |
title | Are Price Limits Effective? An Examination of an Artificial Stock Market |
title_full | Are Price Limits Effective? An Examination of an Artificial Stock Market |
title_fullStr | Are Price Limits Effective? An Examination of an Artificial Stock Market |
title_full_unstemmed | Are Price Limits Effective? An Examination of an Artificial Stock Market |
title_short | Are Price Limits Effective? An Examination of an Artificial Stock Market |
title_sort | are price limits effective? an examination of an artificial stock market |
topic | Research Article |
url | https://www.ncbi.nlm.nih.gov/pmc/articles/PMC4981392/ https://www.ncbi.nlm.nih.gov/pubmed/27513330 http://dx.doi.org/10.1371/journal.pone.0160406 |
work_keys_str_mv | AT zhangxiaotao arepricelimitseffectiveanexaminationofanartificialstockmarket AT pingjing arepricelimitseffectiveanexaminationofanartificialstockmarket AT zhutao arepricelimitseffectiveanexaminationofanartificialstockmarket AT liyuelei arepricelimitseffectiveanexaminationofanartificialstockmarket AT xiongxiong arepricelimitseffectiveanexaminationofanartificialstockmarket |