Price Limit Performance: Evidence from the Tokyo Stock Exchange
检验了东京证券交易所价格限制制度的有效性，发现价格限制会导致后续波动性增加、延迟价格发现并干扰交易，支持了批评者的三个假说。
ABSTRACT Price limit advocates claim that price limits decrease stock price volatility, counter overreaction, and do not interfere with trading activity. Conversely, price limit critics claim that price limits cause higher volatility levels on subsequent days (volatility spillover hypothesis), prevent prices from efficiently reaching their equilibrium level (delayed price discovery hypothesis), and interfere with trading due to limitations imposed by price limits (trading interference hypothesis). Empirical research does not provide conclusive support for either positions. We examine the Tokyo Stock Exchange price limit system to test these hypotheses. Our evidence supports all three hypotheses suggesting that price limits may be ineffective.