Prices and Price Limits
Prices and Price Limits
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价格和价格限制
DOI：
10.2139/ssrn.2667104
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发表时间：
2016
期刊：
影响因子：
--
通讯作者：
K. Roshak
中科院分区：
文献类型：
--
作者：
Jonathan Brogaard;K. Roshak
本文研究了2010年5月“闪电崩盘”后美国证券交易委员会（SEC）实施的价格限制的效果。证券级别价格限制在证券价格经历突然大幅波动后停止交易。差中差设计利用交错引入极限来解决忽略的变量问题。数据表明，限价降低了极端价格波动的频率和严重性，但会导致价格反应不足。结果与Subrahmanyam（1997）的理论一致，即价格限制导致知情交易者不那么激进。
This paper studies the effects of price limits implemented by the Securities and Exchange Commission (SEC) after the May 2010 ‘Flash Crash.’ The security-level price limits halt trading after a security’s price experiences a sudden and large movement. The difference-in-difference design exploits the staggered introduction of the limits to address omitted variable concerns. The data show that price limits reduce the frequency and severity of extreme price movements, but induce price underreaction. The results are consistent with Subrahmanyam’s (1997) theory that price limits cause informed traders to be less aggressive.