01149nas a2200181 4500008004100000245005600041210005100097260000900148300001200157490000700169520062000176653001200796653001700808100002100825700001700846700001600863856008800879 2009 eng d 00 aThe magnet effect of price limits: a logit approach 0 amagnet effect of price limits a logit approach c2009 a830-837 0 v16 3 aWe 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 price approaches the upper (lower) price limit, in support of the magnet effect. Our approach recognizes when the magnet effect starts to emerge and identifies possible determinants of magnet effect. The probability of information-based trading has a significant impact on the magnet effect for lower price limits.
10 aFinance 10 aSupply Chain 1 aHsieh, Ping-Hung 1 aKim, Yong, H 1 aYang, Jimmy u/biblio/magnet-effect-price-limits-logit-approach-0