The effects of price limits on AB-shares on the Shanghai and Shenzhen Stock Exchanges
The study examines the effects of price limits on return, volatility and liquidity by testing three hypotheses: delayed price discovery hypothesis, volatility spillover hypothesis and trading interference hypothesis (Kim and Rhee, 1997, JF). The delayed price discovery hypothesis states that if the...
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University of Sheffield
2016
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| Online Access: | http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.694470 |