The impacts of circuit breakers on China's stock market

Publisher:
Elsevier BV
Publication Type:
Journal Article
Citation:
Pacific Basin Finance Journal, 2021, 68, pp. 101343
Issue Date:
2021-09-01
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In this paper, we empirically investigate the impacts of the circuit breaker mechanism installed in the Shanghai Stock Exchange using high-frequency intraday data. We find that trade impediments have liquidity effects. In the presence of circuit breakers, investors' behavior will accelerate the arrival of price limits. We also document significant downward magnet effects for individual stocks and for the market index but find no significant volatility spillover effects.
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