Price Limits and Asymmetry of Price Dynamics—High Frequency Evidence from the Chinese Stock Market

Abstract

Our article employs the high frequency intraday data from the Shanghai Stock Exchange to analyze the impacts of the price limit mechanism on the stock price dynamics and their determinants. We document significant volatility spillover effects and downward magnet effects for individual stocks and for the market index. Finally, our empirical results suggest that timing and trading volumes are two determinants of price limit effects.