Chulalongkorn University Theses and Dissertations (Chula ETD)

Other Title (Parallel Title in Other Language of ETD)

ผลกระทบจากการดึงดูดราคาหุ้นเมื่อราคาเคลื่อนเข้าใกล้ช่วงจำกัดการเปลี่ยนแปลงราคาประจำวัน โดยใช้ข้อมูลราคาระหว่างวันจากบริษัทจดทะเบียนในตลาดหลักทรัพย์แห่งประเทศไทย

Year (A.D.)


Document Type

Independent Study

First Advisor

Sira Suchintabandid


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





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.



To view the content in your browser, please download Adobe Reader or, alternately,
you may Download the file to your hard drive.

NOTE: The latest versions of Adobe Reader do not support viewing PDF files within Firefox on Mac OS and if you are using a modern (Intel) Mac, there is no official plugin for viewing PDF files within the browser window.