We use transactions data to explore the magnet effects of price limit rules on the Shanghai Stock Exchange (SHSE). When limit hits are imminent, stock prices are found to approach the price limits at faster rates, with higher trading intensity and larger price variation, supporting the magnet...

We show that the probability of information-based trade (PIN) played a significant role in explaining monthly returns on Shanghai A shares over the period 2001 to 2006. In particular, PIN, as approximated by order imbalance as a proportion of total transactions, appears to explain returns even...

Since Value-at-Risk (VaR) disregards tail losses beyond the VaR boundary, the expected shortfall (ES), which measures the average loss when a VaR is exceeded, and the tail-risk-of-VaR (TR), which sums the sizes of tail losses, are used to investigate risks at the tails of distributions for major...