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The Magnet Effect of Price Limits : A Logit Approach

Hsieh, Ping-Hung - 2016

We investigate the magnet effect of price limits using transaction data from the Taiwan Stock Exchange. A logit model incorporates explanatory variables from microstructure literature and reveals that the conditional probability of a price increase (decrease) increases significantly when the...

Persistent link: https://www.econbiz.de/10013009082