The impacts of circuit breakers on China's stock market

Li, Z; Hou, K; Zhang, C

The impacts of circuit breakers on China's stock market

Li, Z Hou, K Zhang, C

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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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Field	Value	Language
dc.contributor.author	Li, Z
dc.contributor.author	Hou, K
dc.contributor.author	Zhang, C
dc.date.accessioned	2022-05-14T00:00:42Z
dc.date.available	2022-05-14T00:00:42Z
dc.date.issued	2021-09-01
dc.identifier.citation	Pacific Basin Finance Journal, 2021, 68, pp. 101343
dc.identifier.issn	0927-538X
dc.identifier.uri	http://hdl.handle.net/10453/157329
dc.description.abstract	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.
dc.language	en
dc.publisher	Elsevier BV
dc.relation.ispartof	Pacific Basin Finance Journal
dc.relation.isbasedon	10.1016/j.pacfin.2020.101343
dc.rights	info:eu-repo/semantics/closedAccess
dc.subject	1501 Accounting, Auditing and Accountability, 1502 Banking, Finance and Investment
dc.subject.classification	Finance
dc.title	The impacts of circuit breakers on China's stock market
dc.type	Journal Article
utslib.citation.volume	68
utslib.for	1501 Accounting, Auditing and Accountability
utslib.for	1502 Banking, Finance and Investment
pubs.organisational-group	/University of Technology Sydney
pubs.organisational-group	/University of Technology Sydney/Faculty of Business
utslib.copyright.status	closed_access	*
dc.date.updated	2022-05-14T00:00:40Z
pubs.publication-status	Published
pubs.volume	68

Abstract:

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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http://hdl.handle.net/10453/157329