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https://doi.org/10.3386/w2229

has been cited by the following article:

• TITLE: A Theoretical Study of Market Performance under Price Limits and Circuit Breakers in Chinese Stock Market

  AUTHORS: Xinhong Hu

  KEYWORDS: Circuit Breakers, Price Limits, Information, Investors, Liquidity

  JOURNAL NAME: Theoretical Economics Letters, Vol.10 No.1, February 27, 2020

  ABSTRACT: The effectiveness of circuit breakers is widely discussed in previous studies, but few of them distinguish between price limits and market-wide circuit breakers. We develop a two-period Stackelberg game, testing the behavioral change of informed and uninformed investors under different circuit breakers. We find that informed investors become more conservative and trade in smaller sizes under circuit breakers, especially market-wide circuit breakers. But uninformed investors trade quite oppositely. This behavioral change makes stock price less informative, and dominated by investor sentiment. We also contribute the market crash in early January, 2016 to this behavioral change.