title: Are Price Limits Effective? An Examination of an Artificial Stock Market.
abstract: We investigated the inter-day effects of price limits policies that are employed in agent-based simulations. To isolate the impact of price limits from the impact of other factors, we built an artificial stock market with higher frequency price limits hitting. The trading mechanisms in this market are the same as the trading mechanisms in China's stock market. Then, we designed a series of simulations with and without price limits policy. The results of these simulations demonstrate that both upper and lower price limits can cause a volatility spillover effect and a trading interference effect. The process of price discovery will be delayed if upper price limits are imposed on a stock market; however, this phenomenon does not occur when lower price limits are imposed.
authors: College of Management and Economics, Tianjin University, Tianjin, P.R. China.|Key Laboratory of Computation and Analytics of Complex Management Systems (CACMS), Tianjin, P.R. China.
authors: Xiaotao
authors: X
authors: Zhang
authors: College of Management and Economics, Tianjin University, Tianjin, P.R. China.
authors: Jing
authors: J
authors: Ping
authors: Research Institute, Bohai Securities Co., Ltd, Tianjin, P.R. China.
authors: Tao
authors: T
authors: Zhu
authors: College of Management and Economics, Tianjin University, Tianjin, P.R. China.|Key Laboratory of Computation and Analytics of Complex Management Systems (CACMS), Tianjin, P.R. China.
authors: Yuelei
authors: Y
authors: Li
authors: College of Management and Economics, Tianjin University, Tianjin, P.R. China.|Key Laboratory of Computation and Analytics of Complex Management Systems (CACMS), Tianjin, P.R. China.
authors: Xiong
authors: X
authors: Xiong
mesh_terms: D000465:Algorithms; D003132:Commerce / Q000191:economics* / Q000379:methods*; D006801:Humans; D007449:Investments / Q000191:economics*; D018803:Models, Economic