English, Article edition: An Analysis of the Magnet Effect under Price Limits-super- DAPHNE YAN DU; QIANQIU LIU; S. GHON RHEE

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Physical Description
  • article
Language
  • English

Edition details

Title
  • An Analysis of the Magnet Effect under Price Limits-super-
Author
  • DAPHNE YAN DU
  • QIANQIU LIU
  • S. GHON RHEE
Physical Description
  • article
Notes
  • Using the Korea Stock Exchange's transaction data and limit order book, we document the accelerating patterns of market activity before limit hits. We confirm the existence of the magnet effect from several key market microstructure variables, using a parsimonious quadratic function of the time until the price limit hit. In addition, this paper is the first to isolate the intraday momentum effect from the magnet effect during the period before stock prices hit daily price limits. Copyright (c) 2009 The Authors. Journal compilation (c) International Review of Finance Ltd. 2009.
  • RePEc:bla:irvfin:v:9:y:2009:i:1-2:p:83-110
Language
  • English
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