Did Adjustment of Price Limits Enhance Stock Price Volatility? — Evidence from the Reform of Price Limits on China’s Growth Enterprise Market

Authors

  • Tengfei Yang China University of Mining and Technology, China
  • Xingzhi Lyu China University of Mining and Technology, China
  • Congcong Jia China University of Mining and Technology, China

Keywords:

price limits, quasi-natural experiment, stock volatility, differences in difference method

Abstract

The adjustment of price limits represents a crucial attempt in the gradual opening of China’s capital market, and the effectiveness of the price limit system has long been a contentious focus among scholars worldwide. Leveraging the quasi-natural experiment of the 2020 price limits reform in China’s Growth Enterprise Market (GEM), this paper employs the differences in difference method to assess the impact of adjusted price limits on stock price volatility and conducts mechanism tests to explore influencing factors. The research findings indicate that the adjustment of price limits significantly increases stock price volatility, with its effectiveness being influenced by stock liquidity, investor speculative desires, and stock trading volume.

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Published

2024-02-19

How to Cite

Tengfei Yang, Xingzhi Lyu, & Congcong Jia. (2024). Did Adjustment of Price Limits Enhance Stock Price Volatility? — Evidence from the Reform of Price Limits on China’s Growth Enterprise Market. ournal of orld conomy, 3(1), 25–33. etrieved from https://www.pioneerpublisher.com/jwe/article/view/671

Issue

Vol. 3 No. 1 (2024): March

Section

Articles