Title: THE INFLUENCE OF PRICE LIMITS CHANGE ON STOCK MARKET
BASED ON SIMULATION METHOD
Authors: Hengyu Yao
College of Economics and Management, Nanjing University of
Aeronautics and Astronautics, Nanjing 210016, China
MLA 8 Yao, Hengyu. "THE INFLUENCE OF PRICE LIMITS CHANGE ON STOCK MARKET BASED ON SIMULATION METHOD." Int. j. of Social Science and Economic Research, vol. 5, no. 2, Feb. 2020, pp. 363-372, ijsser.org/more2020.php?id=25. Accessed Feb. 2020.
APA Yao, H. (2020, February). THE INFLUENCE OF PRICE LIMITS CHANGE ON STOCK MARKET BASED ON SIMULATION METHOD. Int. j. of Social Science and Economic Research, 5(2), 363-372. Retrieved from ijsser.org/more2020.php?id=25
Chicago Yao, Hengyu. "THE INFLUENCE OF PRICE LIMITS CHANGE ON STOCK MARKET BASED ON SIMULATION METHOD." Int. j. of Social Science and Economic Research 5, no. 2 (February 2020), 363-372. Accessed February, 2020. ijsser.org/more2020.php?id=25.
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Abstract: Based on the simulation results of prices and yields using the artificial stock market model, the
paper investigates the influence of price limits change on stock market in the perspective of
volatility and liquidity. And through the analysis of the simulation results, we found that only the
more stringent price limits (e.g. 5%) can effectively reduce the volatility of the stock market, and
at this time there is no significant difference in liquidity between the market with stringent price
limits and the market without price limits. While market volatility will increase significantly with
widening of the price limits, market liquidity will improve significantly. However, it is
noteworthy that if the change of price limits is not large enough especially when prior price
limits are set 10% or more, the increase in liquidity may not be significant. Volatility and
liquidity basically remain stable under price limits of 20% or more.
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