Price Limits and Stock Characteristics: Evidence from Tehran Stock Exchange (TSE)

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RAHMATI MOHAMMAD HOSSEIN; Vesal Mohammad; MOUSAVI SEYED MOJTABA

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Journal: Journal of Economic Research Year:2018 | Volume:53 | Issue:2 Page(s): 345-366

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Title

Price Limits and Stock Characteristics: Evidence from Tehran Stock Exchange (TSE)

Author(s)

RAHMATI MOHAMMAD HOSSEIN | Vesal Mohammad | MOUSAVI SEYED MOJTABA | Issue Writer Certificate

Keywords

Price LimitsQ1

Tehran Stock ExchangeQ2

Panel RegressionQ1

Generalized Method of MomentsQ1

Abstract

Price Limits are boundaries applied by market regulators to restrict daily upward and downward fluctuation of security prices within a pre-specified price range. In this study, we have used the data of trades of all companies listed in the Tehran Stock Exchange during 2006-2015 to study the characteristics of stocks that hit Price Limits frequently using a Panel Regression model with fixed effects and Generalized Method of Moments (GMM). In fact, this study aims at investigating the Price Limits in Tehran Stock Exchange by a novel and distinct approach. In general, risky stocks exhibit more price volatility and thus are more likely to experience price-limit hits. In summary, the results reveal that, in Tehran Stock Exchange, the stocks of companies with higher residual risk, higher trading volume and book to market value, as well as smaller market capitalization with respect to other stocks hit Price Limits more frequently.

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APA: Copy

RAHMATI, MOHAMMAD HOSSEIN, Vesal, Mohammad, & MOUSAVI, SEYED MOJTABA. (2018). Price Limits and Stock Characteristics: Evidence from Tehran Stock Exchange (TSE). TAHGHIGHAT-E-EGHTESADI, 53(2 ), 345-366. SID. https://sid.ir/paper/12043/en

Vancouver: Copy

RAHMATI MOHAMMAD HOSSEIN, Vesal Mohammad, MOUSAVI SEYED MOJTABA. Price Limits and Stock Characteristics: Evidence from Tehran Stock Exchange (TSE). TAHGHIGHAT-E-EGHTESADI[Internet]. 2018;53(2 ):345-366. Available from: https://sid.ir/paper/12043/en

IEEE: Copy

MOHAMMAD HOSSEIN RAHMATI, Mohammad Vesal, and SEYED MOJTABA MOUSAVI, “Price Limits and Stock Characteristics: Evidence from Tehran Stock Exchange (TSE),” TAHGHIGHAT-E-EGHTESADI, vol. 53, no. 2 , pp. 345–366, 2018, [Online]. Available: https://sid.ir/paper/12043/en

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