Post-hit dynamics of price limit hits in the Chinese stock markets

作者：Wu, Ting; Wang, Yue; Li, Ming-Xia^*

来源：Physica A: Statistical Mechanics and Its Applications , 2017, 465: 464-471.

DOI：10.1016/j.physa.2016.08.048

• Expected profit
• Limit hit
• Stock return
• Correlation

Price limit trading rules are useful to cool off traders short-term trading mania on individual stocks. The price dynamics approaching the limit boards are known as the magnet effect. However, the price dynamics after opening price limit hits are not well investigated. Here, we provide a detailed analysis on the price dynamics after the. hits of up-limit or down limit is open based on all A-share stocks traded in the Chinese stock markets. A "W" shape is found in the expected return, which reveals high probability of a continuous price limit hit on the following day. We also find that price dynamics after opening limit hits are dependent on the market trends. The time span of continuously hitting the price limit is found to an influence factor of the expected profit after the limit hit is open. Our analysis provides a better understanding of the price dynamics around the limit boards and contributes potential practical values for investors.

• 出版日期2017-1-1
• 单位华东理工大学