Price Limit Performance in Tehran Stock Exchange via Propensity Score Matching

Please enable javascript in your browser.

Jalali, Samin | 2013

477 Viewed

Type of Document: M.Sc. Thesis
Language: Farsi
Document No: 46779 (44)
University: Sharif University of Technology
Department: Mechanical Engineering
Advisor(s): Rahmati, Mohammad Hossein
Abstract:
Daily price limits are boundaries that regulators impose to control daily volatility in stock market. This paper studies the impact of an imposing price limit in Tehran Stock Exchange. To this end we use all the data about companies which were accepted in stock exchange and fara-stock exchange in 1392.In this year the price limit imposed on companies in stock exchange and fara-stock exchange are 4 and 5 percent respectively. Therefore, to estimate the effect of price limit we use the propensity score matching method and inverse probability weighting.The results indicate no significant differences between returns and trade volume between 4% and 5% price limits, but a significant difference between days in line to sell or buy the stock, as well as volatility, Idiosyncratic risk, and the numbers of days in a year in which a stock hits the limit
Keywords:
Price Limit ; Tehran Stock Exchange ; Fara-Stock Exchange ; Property Score ; Inverse Probability Weighting

No TOC