The Impact of Price Limits on Stock Volatility and Price Delay: Evidence from China

2019 ◽  
Author(s):  
Mengmeng Dong
Keyword(s):  
Price Limits ◽  
Stock Volatility ◽  
The Impact

scholarly journals Impact of Institutional Investment Pattern on Stock Volatility: A Study of BSE-30 Companies

2016 ◽  
Vol 3 (1) ◽  
Author(s):  
Harendra Singh
Keyword(s):  
Institutional Investors ◽  
Institutional Ownership ◽  
Stock Volatility ◽  
Institutional Investment ◽  
Investment Pattern ◽  
Institutional Holdings ◽  
The Mind ◽  
The Impact

<p>There are many studies found in the field of stock volatility and institutional investors. Most of the studies found an inconsistent relationship between volatility and institutional investors. It creates a curiosity in the mind of investor, whether riskier securities attract institutional investors or an increase in institutional holdings results in an increase in volatility.</p><p><br />In this paper we tried to examine the impact of institutional ownership pattern on stock volatility. We have considered BSE-30 companies and taken 5 year data from 1st January 2009 to 1st January 2014. Our result shows that institutional ownership has positive and significant impact on stock volatility.</p>

scholarly journals Capital Market Response to COVID-19 Pandemic – A Systematic Review on Stock Volatility and Performance

2021 ◽  
pp. 27-49
Author(s):  
Janga Bahadur Hamal ◽  
Rishi Raj Gautam
Keyword(s):  
Stock Market ◽  
Investor Sentiment ◽  
Market Volatility ◽  
Stock Market Volatility ◽  
Stock Volatility ◽  
Government Response ◽  
Stock Market Performance ◽  
Policy Measures ◽  
And Performance ◽  
The Impact

This paper aims to identify the impact of the COVID-19 pandemic on stock market volatility and market return as well as the impact of government response to the COVID-19 pandemic on stock market performance. To analyze the same, the paper has adopted Systematic Literature Review (SLR) approach and conducted a review of 40 journal articles published between between2020 to mid-2021. The paper identified that the short-term impact of the COVID-19 outbreak and government policy measures had a significant and adverse impact on stock market volatility, return and overall performance. In the longer term, the stock markets slowly started to stabilize and revive. This effect on the stock market was also attributed to investor sentiment and thus, in the later stages, targeted government response had a positive effect on boosting investor confidence towards the market.

Price Limit and Volatility in Taiwan Stock Exchange: Some Additional Evidence from the Extreme Value Approach

2007 ◽  
Vol 10 (01) ◽  
pp. 51-61 ◽  
Author(s):  
Aktham I. Maghyereh ◽  
Haitham A. Al Zoubi ◽  
Haitham Nobanee
Keyword(s):  
Stock Market ◽  
Stock Exchange ◽  
Extreme Value ◽  
Market Volatility ◽  
Stock Market Volatility ◽  
Price Limits ◽  
Stock Volatility ◽  
Price Limit ◽  
Taiwan Stock Exchange

We reexamine the effects of price limits on stock volatility of Taiwan Stock Exchange using a new methodology based on the Extreme-Value technique. Consistent with the advocates of price limits, we find that stock market volatility is sharply moderated under more restrictive price limits.

scholarly journals The Impact of Behavioural Biases on Stock Volatility: Evidence From Pakistan Stock Exchange

2021 ◽  
Vol 5 (1) ◽  
pp. 215-225
Author(s):  
IRFAN ULLAH ◽  
DR. MUHAMMAD ZAHID ◽  
ZAIN ULLAH
Keyword(s):  
Quantitative Methods ◽  
Negative Impact ◽  
Positive Impact ◽  
Stock Exchange ◽  
Secondary Data ◽  
Efficient Market Hypothesis ◽  
The Body ◽  
Stock Volatility ◽  
Trading Volumes ◽  
The Impact

The main purpose of the current study is to investigate the impact of behavioural biases such as confidence, optimism, and pessimism on stock volatility evidence from Pakistan Stock Exchange (PSX). Prospect theory and overconfidence theory formed the foundation of this study. The methodology composed of positivist philosophical stance, deductive approach and quantitative methods with secondary data. Data analysis involved the use of descriptive statistics, correlation and regression. The study consists ofa 10-years analysis from June 2008 to June 2018 and includes daily trading volumes KSE-100 index in PSX. Results reveal that behavioral biases such as confidence have a positive impact on stock volatility. Similarly, optimism bias has also a positive impact on stock volatility. While pessimism bias has recorded a negative impact on stock volatility. Therefore, it is concluded that behavioural biases have an impact on stock volatility. The current study has a contribution to the body of knowledge on the ground that it attempts to change the traditional notion of society who believes in the efficient market hypothesis. The study has implications for different stakeholders of stock markets.

scholarly journals The Effect of Daily Stock Price Limits on the Investment Risk: Evidence from the Egyptian Stock Market

2017 ◽  
Vol 6 (4) ◽  
pp. 1 ◽  
Author(s):  
Mai Ahmed Abdelzaher ◽  
Khairy Elgiziry
Keyword(s):  
Stock Prices ◽  
Stock Price ◽  
Trading Volume ◽  
Positive Relationship ◽  
Descriptive Analysis ◽  
Negative Relationship ◽  
Fair Value ◽  
Price Limits ◽  
Stock Volatility ◽  
Closing Price

The study aims to investigate the relationship between daily price limits and stock volatility, trading volume, delayed adjustment of stock prices, and its fair value. To achieve this goal, we used the data of the listed firms in EGX30. We analyzed the data using descriptive analysis then we applied General linear model, ARCH and GARCH models. Based on our analysis results show a positive relationship between upper daily limit and stock volatility, a positive relationship between daily price limits (upper limit- lower limit) and trading volume, a positive relationship between upper daily limit and the return between the closing price and the opening price on the same day, a positive relationship between lower daily limit and the return between the closing price and the opening price in the next day, a negative relationship between upper daily limit and the return between the closing price and the opening price in the next day, and a positive relationship between daily stock price limits and the fair value.

scholarly journals The Effectiveness of Price Bands on Emerging Markets: Evidence from India

2018 ◽  
Vol 7 (4) ◽  
pp. 195
Author(s):  
Chakrapani Chaturvedula ◽  
Nikhil Rastogi
Keyword(s):  
Emerging Markets ◽  
Capital Markets ◽  
Stock Prices ◽  
Price Discovery ◽  
Volatility Spillover ◽  
Discovery Process ◽  
Price Limits ◽  
The Impact ◽  
Price Discovery Process ◽  
Spillover Hypothesis

We study the impact of price bands in the Indian capital markets and following the methodology of Kim and Rhee (1997) we do not find evidence in support of the volatility spillover hypothesis. Our evidence suggests that price limits does not hinder the price discovery process and may play an important role in reducing the volatility of stock prices in the emerging markets like India.

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