Study on the Impact of Widening Price Limit on the Volatility of GEM
DOI:
https://doi.org/10.54691/pvywg821Keywords:
GEM; Price Limit; Stock Volatility; Differences in Differences.Abstract
On August 24, 2020, the price limit of GEM market was officially relaxed from the previous 10% to 20%. This policy adjustment provided a good "quasi-natural" experiment for the standard. By constructing a differential difference model (DID), this paper took GEM stocks as the experimental group and small and medium-sized board stocks as the control group, and made use of relevant data from 2017 to 2023. Study the effect of this system adjustment on the volatility of GEM stock price. The empirical test results show that the relaxation of the limit of rise and fall increases the volatility of GEM stocks.
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