The Magnet Effect And The Delayed Price Discovery Effect Of Price Limits

摘要

The research of this article is about the magnet effect and the delayed price discovery effect in China Stock Market. W find there are strong evidences that the magnet effect is existent in China Stock Markets. The magnet effect of upper price limit is more significant and stronger than that of lower price limit. Then we discuss the existence of the delayed price discovery effect in the condition of eliminating the influence of price overreaction. We conclude that the upper price limit really arouses the delayed price discovery effect, but in the other direction the data do not support that there is the delayed price discovery effect after eliminating the overreaction influence. Our conclusions can help investors to construct their trading strategies or help regulators to improve market trading regulations.