| dc.contributor | 財管系 | en_US |
| dc.creator (作者) | 周冠男 | zh_TW |
| dc.creator (作者) | Choua, Pin-Huang ; Choub, Robin K. ;Kod, Kuan-Cheng ;Chaoa, Chun-Yi | - |
| dc.date (日期) | 2013.01 | en_US |
| dc.date.accessioned | 11-Nov-2013 09:35:57 (UTC+8) | - |
| dc.date.available | 11-Nov-2013 09:35:57 (UTC+8) | - |
| dc.date.issued (上傳時間) | 11-Nov-2013 09:35:57 (UTC+8) | - |
| dc.identifier.uri (URI) | http://nccur.lib.nccu.edu.tw/handle/140.119/61545 | - |
| dc.description.abstract (摘要) | Price limits supposedly provide a cool-off period that allows investors to reassess the market conditions. They represent an implementation risk, a special form of arbitrage risk, that impedes arbitrageurs from engaging in arbitrage activities to correct for potential mispricing. We conjecture that the cool-off period would be lengthier for stocks that are subject to higher degrees of arbitrage risk and investor sentiment, and that the effect of arbitrage risk is stronger in up-limit hits because of higher short-sale restriction involved. Based on a sample of intraday data from the Taiwan Stock Exchange, we find that stocks with smaller capitalizations and higher idiosyncratic risk tend to have longer limit-hit durations, consistent with the behavioral argument. The empirical results have important policy implications for stock market regulations. | en_US |
| dc.format.extent | 366776 bytes | - |
| dc.format.mimetype | application/pdf | - |
| dc.language.iso | en_US | - |
| dc.relation (關聯) | Pacific Basin Finance Journal | en_US |
| dc.subject (關鍵詞) | Price limits;Limit-hit duration;Magnet effect;Censoring | en_US |
| dc.title (題名) | What Affects the Cool-off Duration under Price Limits? | en_US |
| dc.type (資料類型) | article | en |
| dc.identifier.doi (DOI) | 10.1016/j.pacfin.2013.01.004 | en_US |
| dc.doi.uri (DOI) | http://dx.doi.org/10.1016/j.pacfin.2013.01.004 | en_US |
