TY  - JOUR
T1  - The magnet effect of price limits: a logit approach
JF  - Journal of Empirical Finance
Y1  - 2009
A1  - Hsieh,Ping-Hung
A1  - Kim,Yong H
A1  - Yang,Jimmy
KW  - Finance
KW  - Supply Chain
AB  - 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 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.<br><br>
VL  - 16
CP  - 5
U2  - a
U4  - 2658545665
ID  - 2658545665
ER  -