Price bands and their effects on equity markets: Evidence from a natural experiment
利用印度IPO股票日内价格被限制在窄幅区间的独特实验，研究发现价格区间降低了股价波动性，但增加了个人投资者的卖出行为、交易的价格冲击和IPO预期回报。
We exploit a unique experiment, where the intraday price moves of Indian IPO listings are restricted within a narrow band, to examine the consequences of price bands for stock prices, investor trading behavior, and stock market liquidity. Based on difference-in-differences estimations, we find that price bands lead to a significant reduction in the price variability of IPO stocks. The decrease in variability is accompanied by increases in post-IPO selling by individual investors, the price impact of trades, and IPO expected returns. Bid-ask spreads remain similar. The findings provide new evidence on the effects of intraday price bands on equity markets.