The Magnet Effect of Price Limit in Tehran Stock Exchange, M.Sc. Thesis Sharif University of Technology ; Zamani, Shiva (Supervisor)
Abstract
Nowadays, in many financial markets, policy makers impose daily price limit to prevent investors from making emotional decisions, which can lead to abnormal price volatility. A number of theoretical and empirical studies have been conducted on the effectiveness of setting price limit, some supporting the idea and other rejecting. In this research, we begin with a detailed analysis of magnet effect as one of the consequences of setting price limit. Then we study the stock price of five firms listed in Tehran Stock Exchange (TSE) by means of an autoregressive model with explanatory variables to determine whether or not the magnet effect exists. These five firms, put together, comprise 23% of...
Cataloging briefThe Magnet Effect of Price Limit in Tehran Stock Exchange, M.Sc. Thesis Sharif University of Technology ; Zamani, Shiva (Supervisor)
Abstract
Nowadays, in many financial markets, policy makers impose daily price limit to prevent investors from making emotional decisions, which can lead to abnormal price volatility. A number of theoretical and empirical studies have been conducted on the effectiveness of setting price limit, some supporting the idea and other rejecting. In this research, we begin with a detailed analysis of magnet effect as one of the consequences of setting price limit. Then we study the stock price of five firms listed in Tehran Stock Exchange (TSE) by means of an autoregressive model with explanatory variables to determine whether or not the magnet effect exists. These five firms, put together, comprise 23% of...
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