Price bands and their effects on equity markets: Evidence from a natural experiment

IF 2.1 2区经济学 Q2 BUSINESS, FINANCE

Journal of Financial Markets Pub Date : 2023-11-01 DOI:10.1016/j.finmar.2023.100840

Vladimir A. Gatchev , Rama Seth , Ajai Singh , S.R. Vishwanatha

引用次数: 0

Abstract

We exploit a unique experiment, where the intraday price moves of Indian IPO listings are restricted within a narrow band, to examine the consequences of price bands for stock prices, investor trading behavior, and stock market liquidity. Based on difference-in-differences estimations, we find that price bands lead to a significant reduction in the price variability of IPO stocks. The decrease in variability is accompanied by increases in post-IPO selling by individual investors, the price impact of trades, and IPO expected returns. Bid-ask spreads remain similar. The findings provide new evidence on the effects of intraday price bands on equity markets.

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价格带及其对股票市场的影响：来自自然实验的证据

我们利用了一个独特的实验，其中印度IPO上市的盘中价格波动被限制在一个狭窄的波段内，以检查价格波段对股票价格，投资者交易行为和股票市场流动性的影响。基于差中差估计，我们发现价格区间导致IPO股票的价格变异性显著降低。变异性的降低伴随着个人投资者在IPO后卖出的增加、交易的价格影响和IPO预期回报的增加。买卖价差保持相似。这些发现为日内价格带对股市的影响提供了新的证据。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Journal of Financial Markets BUSINESS, FINANCE-

CiteScore

3.40

自引率

3.60%

发文量

期刊介绍： The Journal of Financial Markets publishes high quality original research on applied and theoretical issues related to securities trading and pricing. Area of coverage includes the analysis and design of trading mechanisms, optimal order placement strategies, the role of information in securities markets, financial intermediation as it relates to securities investments - for example, the structure of brokerage and mutual fund industries, and analyses of short and long run horizon price behaviour. The journal strives to maintain a balance between theoretical and empirical work, and aims to provide prompt and constructive reviews to paper submitters.