%0 Journal Article
%J Journal of Empirical Finance
%D 2009
%T A censored stochastic volatility approach to the estimation of price limit moves
%A Hsieh,Ping-Hung
%A Yang,Jimmy
%K Finance
%K Supply Chain
%X 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>
%B Journal of Empirical Finance
%V 16
%P 337-351
%8 2009
%G eng
%N 2
%2 a
%4 2658519041
%$ 2658519041

%0 Journal Article
%J Journal of Empirical Finance
%D 2009
%T The magnet effect of price limits: a logit approach
%A Hsieh,Ping-Hung
%A Kim,Yong H
%A Yang,Jimmy
%K Finance
%K Supply Chain
%X 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>
%B Journal of Empirical Finance
%V 16
%P 830-837
%8 2009
%G eng
%N 5
%2 a
%4 2658545665
%$ 2658545665

%0 Generic
%D 2007
%T The Magnet Effect of Price Limits: Evidence from Transactions Data
%A Hsieh,Ping-Hung
%A Kim,Yong H.
%A Yang,Jimmy
%K Finance
%K Supply Chain
%B Asian Finance Association Meeting
%C Hong Kong
%8 2007
%G eng
%2 c
%4 8582131713
%$ 8582131713

%0 Generic
%D 2006
%T The magnet effect of price limits: evidence from transactions data
%A Yang,Jimmy
%A Hsieh,Ping-Hung
%A Kim,Yong  H.
%K Finance
%K Supply Chain
%B Financial Management Association meeting
%C Salt Lake City, Utah
%8 2006
%G eng
%2 c
%4 649934848
%$ 649934848

%0 Generic
%D 2006
%T The Magnet Effect of Price Limits: Evidence from Transactions Data
%A Hsieh,Ping-Hung
%A Kim,Yong  H.
%A Yang,Jimmy
%K Finance
%K Supply Chain
%B National Joint Statistical Meetings
%C Seattle, Washington
%8 2006
%G eng
%2 c
%4 2722437121
%$ 2722437121