01259nas a2200169   4500008004100000245008500041210006900126260000900195300001200204490000700216520068500223653001200908653001700920100002100937700001600958856011500974       2009                        eng d00aA censored stochastic volatility approach to the estimation of price limit moves0 acensored stochastic volatility approach to the estimation of pri  c2009  a337-3510 v163 aA censored stochastic volatility model is developed to reconstruct a return series censored by price limits, one popular form of market stabilization mechanisms. When price limits are reached, the observed prices are truncated and the equilibrium prices are unobservable, which makes further financial analyses difficult. The model offers theoretically sound estimates of censored returns and is demonstrated via simulations to outperform existing approaches with respect to the estimates of model parameters, unconditional means, and standard deviations. The algorithm is applied to model stock and futures returns and results are consistent with the simulation outcomes.<br><br>10aFinance10aSupply Chain1 aHsieh, Ping-Hung1 aYang, Jimmy  u/biblio/censored-stochastic-volatility-approach-estimation-price-limit-moves-001149nas a2200181   4500008004100000245005600041210005100097260000900148300001200157490000700169520062000176653001200796653001700808100002100825700001700846700001600863856008800879       2009                        eng d00aThe magnet effect of price limits: a logit approach0 amagnet effect of price limits a logit approach  c2009  a830-8370 v163 aWe investigate the magnet effect of price limits using transaction data from the Taiwan Stock Exchange. A logit model incorporates explanatory variables from microstructure literature and reveals that the conditional probability of a price increase (decrease) increases significantly when the price approaches the upper (lower) price limit, in support of the magnet effect. Our approach recognizes when the magnet effect starts to emerge and identifies possible determinants of magnet effect. The probability of information-based trading has a significant impact on the magnet effect for lower price limits.<br><br>10aFinance10aSupply Chain1 aHsieh, Ping-Hung1 aKim, Yong, H1 aYang, Jimmy  u/biblio/magnet-effect-price-limits-logit-approach-000528nas a2200145   4500008004100000245007100041210006600112260002000178653001200198653001700210100002100227700001800248700001600266856010000282       2007                        eng d00aThe Magnet Effect of Price Limits: Evidence from Transactions Data0 aMagnet Effect of Price Limits Evidence from Transactions Data  aHong Kongc200710aFinance10aSupply Chain1 aHsieh, Ping-Hung1 aKim, Yong, H.1 aYang, Jimmy  u/biblio/magnet-effect-price-limits-evidence-transactions-data-200539nas a2200145   4500008004100000245007100041210006600112260003100178653001200209653001700221100001600238700002100254700001800275856010000293       2006                        eng d00aThe magnet effect of price limits: evidence from transactions data0 amagnet effect of price limits evidence from transactions data  aSalt Lake City, Utahc200610aFinance10aSupply Chain1 aYang, Jimmy1 aHsieh, Ping-Hung1 aKim, Yong, H.  u/biblio/magnet-effect-price-limits-evidence-transactions-data-300538nas a2200145   4500008004100000245007100041210006600112260003000178653001200208653001700220100002100237700001800258700001600276856010000292       2006                        eng d00aThe Magnet Effect of Price Limits: Evidence from Transactions Data0 aMagnet Effect of Price Limits Evidence from Transactions Data  aSeattle, Washingtonc200610aFinance10aSupply Chain1 aHsieh, Ping-Hung1 aKim, Yong, H.1 aYang, Jimmy  u/biblio/magnet-effect-price-limits-evidence-transactions-data-4