TY  - JOUR
T1  - A censored stochastic volatility approach to the estimation of price limit moves
JF  - Journal of Empirical Finance
Y1  - 2009
A1  - Hsieh,Ping-Hung
A1  - Yang,Jimmy
KW  - Finance
KW  - Supply Chain
AB  - A 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>
VL  - 16
CP  - 2
U2  - a
U4  - 2658519041
ID  - 2658519041
ER  - 

TY  - JOUR
T1  - The magnet effect of price limits: a logit approach
JF  - Journal of Empirical Finance
Y1  - 2009
A1  - Hsieh,Ping-Hung
A1  - Kim,Yong H
A1  - Yang,Jimmy
KW  - Finance
KW  - Supply Chain
AB  - We 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>
VL  - 16
CP  - 5
U2  - a
U4  - 2658545665
ID  - 2658545665
ER  - 

TY  - HEAR
T1  - The Magnet Effect of Price Limits: Evidence from Transactions Data
Y1  - 2007
A1  - Hsieh,Ping-Hung
A1  - Kim,Yong H.
A1  - Yang,Jimmy
KW  - Finance
KW  - Supply Chain
JA  - Asian Finance Association Meeting
CY  - Hong Kong
U2  - c
U4  - 8582131713
ID  - 8582131713
ER  - 

TY  - HEAR
T1  - The magnet effect of price limits: evidence from transactions data
Y1  - 2006
A1  - Yang,Jimmy
A1  - Hsieh,Ping-Hung
A1  - Kim,Yong  H.
KW  - Finance
KW  - Supply Chain
JA  - Financial Management Association meeting
CY  - Salt Lake City, Utah
U2  - c
U4  - 649934848
ID  - 649934848
ER  - 

TY  - HEAR
T1  - The Magnet Effect of Price Limits: Evidence from Transactions Data
Y1  - 2006
A1  - Hsieh,Ping-Hung
A1  - Kim,Yong  H.
A1  - Yang,Jimmy
KW  - Finance
KW  - Supply Chain
JA  - National Joint Statistical Meetings
CY  - Seattle, Washington
U2  - c
U4  - 2722437121
ID  - 2722437121
ER  -