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Title: THE INFLUENCE OF PRICE LIMITS CHANGE ON STOCK MARKET BASED ON SIMULATION METHOD
Authors: Hengyu Yao
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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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