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2010 Third International Conference on Business Intelligence and Financial Engineering
Does Price Limit Affect the Autocorrelation of Stock Return Series? A Monte Carlo Experiment
Hong Kong, China
August 13-August 15
ISBN: 978-0-7695-4116-7
ASCII Text
x 
 
Xicai Guo, Zhi'an Liang, Yue Fang, "Does Price Limit Affect the Autocorrelation of Stock Return Series? A Monte Carlo Experiment," 2012 Fifth International Conference on Business Intelligence and Financial Engineering, pp. 399-402, 2010 Third International Conference on Business Intelligence and Financial Engineering, 2010.
 
 
BibTex
x
 
@article{ 10.1109/BIFE.2010.98,
author = {Xicai Guo and Zhi'an Liang and Yue Fang},
title = {Does Price Limit Affect the Autocorrelation of Stock Return Series? A Monte Carlo Experiment},
journal ={2012 Fifth International Conference on Business Intelligence and Financial Engineering},
volume = {0},
year = {2010},
isbn = {978-0-7695-4116-7},
pages = {399-402},
doi = {http://doi.ieeecomputersociety.org/10.1109/BIFE.2010.98},
publisher = {IEEE Computer Society},
address = {Los Alamitos, CA, USA},
}
 
 
RefWorks Procite/RefMan/Endnote
x 
 
TY - CONF
JO - 2012 Fifth International Conference on Business Intelligence and Financial Engineering
TI - Does Price Limit Affect the Autocorrelation of Stock Return Series? A Monte Carlo Experiment
SN - 978-0-7695-4116-7
SP399
EP402
A1 - Xicai Guo,
A1 - Zhi'an Liang,
A1 - Yue Fang,
PY - 2010
KW - price limit
KW - autocorrelation
KW - Monte Carlo
KW - stock return
VL - 0
JA - 2012 Fifth International Conference on Business Intelligence and Financial Engineering
ER -
 
This paper explores whether the regulation of price limits in financial markets will result in the autocorrelation of stock return series. The results of Monte Carlo Experiment under different error term distribution hypothesis suggest that such price limit mechanism will result in a positive first-order autocorrelation of return series. The results indicates that some statistics in empirical finance literature for testing random walk or market efficiency, for example, the variance ratio of Lo and MacKinlay(1988), may be biased when the stock price is subject to the price limit. This paper also suggests that the further research on the price limit is necessary when more exchanges adopt such regulations in the world.
Index Terms:
price limit, autocorrelation, Monte Carlo, stock return
Citation:
Xicai Guo, Zhi'an Liang, Yue Fang, "Does Price Limit Affect the Autocorrelation of Stock Return Series? A Monte Carlo Experiment," bife, pp.399-402, 2010 Third International Conference on Business Intelligence and Financial Engineering, 2010
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