@article {1971931, title = {A censored stochastic volatility approach to the estimation of price limit moves}, journal = {Journal of Empirical Finance}, volume = {16}, year = {2009}, month = {2009}, pages = {337-351}, abstract = {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.

}, keywords = {Finance, Supply Chain}, author = {Hsieh,Ping-Hung and Yang,Jimmy} } @article {1971921, title = {The magnet effect of price limits: a logit approach}, journal = {Journal of Empirical Finance}, volume = {16}, year = {2009}, month = {2009}, pages = {830-837}, abstract = {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.

}, keywords = {Finance, Supply Chain}, author = {Hsieh,Ping-Hung and Kim,Yong H and Yang,Jimmy} } @article {1979246, title = {The Magnet Effect of Price Limits: Evidence from Transactions Data}, year = {2007}, month = {2007}, address = {Hong Kong}, keywords = {Finance, Supply Chain}, author = {Hsieh,Ping-Hung and Kim,Yong H. and Yang,Jimmy} } @article {1979251, title = {The magnet effect of price limits: evidence from transactions data}, year = {2006}, month = {2006}, address = {Salt Lake City, Utah}, keywords = {Finance, Supply Chain}, author = {Yang,Jimmy and Hsieh,Ping-Hung and Kim,Yong H.} } @article {1979256, title = {The Magnet Effect of Price Limits: Evidence from Transactions Data}, year = {2006}, month = {2006}, address = {Seattle, Washington}, keywords = {Finance, Supply Chain}, author = {Hsieh,Ping-Hung and Kim,Yong H. and Yang,Jimmy} }