TY  - JOUR
T1  - Effect of price limits: initial public offerings versus seasoned equities
JF  - International Review of Finance
Y1  - 2009
A1  - Kim,Yong H.
A1  - Yang,Jimmy
KW  - Finance
AB  - In this paper, we examine the effect of price limits on initial public offerings (IPOs) using Taiwanese data. On average, it takes 6.24 days for IPOs to reach their equilibrium prices in the presence of a 7% price limit. We compare IPOs with their industry- and size-matched seasoned equities (MSEs) and observe higher volatility levels on subsequent days for IPOs than for MSEs. However, the higher volatility decays within 2 days. Lower price limits interfere with trading and lead to higher trading activity on subsequent days for IPOs than for MSEs. We also observe delayed price discovery for both IPOs and MSEs. Overall, our results provide evidence about the effect of price limits on IPOs and generate important regulatory implications for countries imposing price limits on IPOs.
VL  - 9
CP  - 3
U2  - a
U4  - 649912320
ID  - 649912320
ER  - 

TY  - JOUR
T1  - The Effect of Price Limits on Intraday Volatility and Information Asymmetry
JF  - Pacific-Basin Finance Journal
Y1  - 2008
A1  - Kim,Yong H.
A1  - Yang,Jimmy
KW  - Finance
AB  - We investigate the effect of price limits on intra-day volatility and information asymmetry using transactions data from the Taiwan Stock Exchange. Proponents of price limits argue that they provide an opportunity for investors to reevaluate market information and make more rational trading decisions. We identify three different limit hits – closing, single, and consecutive – and hypothesize that only the consecutive limit hits are likely to provide such an opportunity, namely, to counter investor overreaction (volatility hypothesis) and to enhance information revelation (information asymmetry hypothesis). Our empirical evidence supports the volatility hypothesis. Our findings generate important policy implications for stock markets that have price limits.
VL  - 16
CP  - 5
U2  - a
U4  - 6360668161
ID  - 6360668161
ER  - 

TY  - JOUR
T1  - Relative Performance of Trading Halts and Price Limits: Evidence from the Spanish Stock Exchange
JF  - International Review of Economics and Finance
Y1  - 2008
A1  - Kim,Yong H.
A1  - Yague,Jose
A1  - Yang,Jimmy
KW  - Finance
AB  - We study the relative performance of trading halts and price limits using data from the Spanish Stock Exchange where both mechanisms have coexisted. According to our evidence, trading activity increases after either mechanism is triggered. Volatility stays the same after trading halts but increases after price limit hits. Our evidence also shows that the bid–ask spread is narrower after trading halts but wider after price limit hits. Information is efficiently reflected in stock prices once trading resumes after trading halts, but there is evidence of market overreaction for upper price limits. Our overall result may have important policy implications for financial markets in the world.
VL  - 17
CP  - 2
U2  - a
U4  - 649914368
ID  - 649914368
ER  - 

TY  - HEAR
T1  - The Magnet Effect of Price Limits: Evidence from Transactions Data
Y1  - 2007
A1  - Hsieh,Ping-Hung
A1  - Kim,Yong H.
A1  - Yang,Jimmy
KW  - Finance
KW  - Supply Chain
JA  - Asian Finance Association Meeting
CY  - Hong Kong
U2  - c
U4  - 8582131713
ID  - 8582131713
ER  -