Chulalongkorn University Theses and Dissertations (Chula ETD)
Other Title (Parallel Title in Other Language of ETD)
ผลกระทบจากการดึงดูดราคาหุ้นเมื่อราคาเคลื่อนเข้าใกล้ช่วงจำกัดการเปลี่ยนแปลงราคาประจำวัน โดยใช้ข้อมูลราคาระหว่างวันจากบริษัทจดทะเบียนในตลาดหลักทรัพย์แห่งประเทศไทย
Year (A.D.)
2020
Document Type
Independent Study
First Advisor
Sira Suchintabandid
Faculty/College
Faculty of Commerce and Accountancy (คณะพาณิชยศาสตร์และการบัญชี)
Department (if any)
Department of Banking and Finance (ภาควิชาการธนาคารและการเงิน)
Degree Name
Master of Science
Degree Level
Master's Degree
Degree Discipline
Finance
DOI
10.58837/CHULA.IS.2020.86
Abstract
Commonly, daily prices limits are widely used for stabilizing stock markets and decrease volatility during overreaction period. However, regulators may not notice that instead of stopping panic sell or overbought, the daily price limits generate a magnet effect, which cause the price to accelerate to the price limits and increase the overall volatility. This research investigates the magnet effect of price limits using high frequency from the Stock Exchange of Thailand. Using AR(2)-GARCH(2,2) as a base model for each stock’s 5-mins returns to capture the effect. The empirical results present evidence of the strong ceiling magnet effect at all conditions, while only some stock’s characteristics find the evidence on the floor magnet effect. When combined volatility changes with the magnet effect, there is evidence to conclude an increase in volatility during price close to the price limits and after stock’s price hit the price limit.
Creative Commons License
This work is licensed under a Creative Commons Attribution-NonCommercial-No Derivative Works 4.0 International License.
Recommended Citation
Boonyasitphawee, Wongwarit, "The magnet effect of price limits: evidence from high-frequency data on the stock exchange of Thailand" (2020). Chulalongkorn University Theses and Dissertations (Chula ETD). 7602.
https://digital.car.chula.ac.th/chulaetd/7602