Characteristics of Stocks that Frequently Hit Price Limits: Empirical Evidence from Tehran Stock Exchange (TSE)

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Mousavi, Mojtaba | 2016

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Type of Document: M.Sc. Thesis
Language: Farsi
Document No: 48549 (44)
University: Sharif University of Technology
Department: Management and Economics
Advisor(s): Rahmati, Mohammad Hossein; Vesal, Mohammad
Abstract:
Price limits are boundaries established by market regulators to confine daily movements of security prices within a predetermined price range. In this study, we have used the data of trades of all companies listed in the Tehran Stock Exchange during the years 1385-1393 to study the characteristics of stocks that hit price limits repeatedly using a panel regression model with fixed effects and the 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 the price limits more frequently
Keywords:
Panel Regression ; Generalized Moments Methods ; Circuit Breakers (CBs) ; Price Limit ; Tehran Stock Exchange

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