Investigating the effect of stock tendency of stock collision to fluctuation limit and price fluctuation threshold and change the basis of fluctuation limit in creating returns fluctuations

Subject Areas : Financial Accounting

Mahdieh Farahbakhsh ¹ , Majid Zanjirdar ² , Hossein Jahangirnia ³ , Mojgan Safa ⁴

1 - Department of Accounting, Qom Branch, Islamic Azad University, Qom, Iran
2 - Department of Financial Management, Arak Branch, Islamic Azad University, Arak, Iran
3 - استادیار، گروه حسابداری ، واحد قم ، دانشگاه ازاد اسلامی، قم ، ایران
4 - استادیار، گروه حسابداری ، واحد قم ، دانشگاه ازاد اسلامی، قم ، ایران

Received: 2021-01-04 Accepted : 2021-04-19 Published : 2023-12-01

Keywords: company-related factors, market-related factors, stock tendency to deal with fluctuation limit,

Abstract :

The purpose of this study is to identify the effect of stock tendency to deal with fluctuations and price fluctuation thresholds in creating fluctuations. The statistical population of the present study is the companies listed on the Tehran Stock Exchange that were present in the stock exchange during the years 2005 to 2018. In order to confirm and reject the research hypothesis, Eviews software has been used. In Tehran Stock Exchange, following severe stock price fluctuations, the stock price fluctuation mechanism is used to limit severe stock price fluctuations, and according to certain periods, the range of stock price fluctuations changes and over time the range of fluctuations increases. The basis of trial and error has been determined and in a short period of time there have been many changes in the procedures related to the application of stock price fluctuations, without really measuring the impact of these decisions in the market and investors' reaction to changes in price fluctuations. Findings showed that the number of times each share hits the price fluctuation Yield fluctuation has a significant effect.slow efficiency fluctuations have a significant effect; And in line with the concepts of hyper-reactive theory, it can be justified, that is, after the price reaches the range of fluctuation, the trend reverses and the basis of the fluctuation limit changes; It has changed the volatility of stock returns based on jump and price continuity.

References:

[1] Akhgar, MO., Mirzaei, B., Investigating the relationship between company life cycle and specif-ic fluctuations in stock returns with emphasis on fundamental uncertainty and information uncer-tainty, Financial Accounting Quarterly, 2019; 11(42):100-129. Doi:1911-3846.1997.tb00537.x

[2] Basti Rad, M.R., Yazdani, Sh., Relationship between liquidity, financial leverage, sales growth and cost price with price fluctuations and stock returns in companies listed on the Tehran Stock Exchange, Accounting and Management Perspectives, 2020; 3(22):142-153.

[3] Berkman, H., Lee, J., The effectiveness of price limits in an emerging market: Evidence from the Korean Stock Exchange, Pacific-Basin Finance Journal, 2002; 10(7): 517-530. doi:10.1016/S0927-538X (02)00040-9.

[4] Chen, Y.M., Price limits and stock market volatility, Pacific Basin Finance Journal, 2018, 1(1), P.139–153. doi:10.1016/S0165-1765(00)00403-1.

[5] Chu Shan, Y., Lin, Y., The stabilizing effects of price limits: New evidence from jump contribut-ed price variations, The North American Journal of Economics and Finance, 2018; 4(18).
doi: 10.1016/j.najef.2018.07.012.

[6] Dehghan Benaraki, Sh., Amini, Eh, The Role of Emotional Behaviors in Stock Price Fluctuations of Tehran Stock Exchange, Business Management Quarterly, 2020; 12(45): doi:10.22051/JFM.2016.2483

[7] Fallah Shams, M. F., Eskandari, M., Investigating the role of asymmetry on the effect of abduc-tion on stock price fluctuations, financial engineering and securities management, 2018; 9(34): P.233-248.

[8] Farag, H., The influence of price limits on overreaction in emerging markets: Evidence from the Egyptian stock market, The Quarterly Review of Economics and Finance, Elsevier, 2015; 58(3): P.117-158,190-199. doi: 10.1016/j.qref.2015. 01.003.

[9] Islami Bidgoli, Gh., Alishvandi, Ab, Investigating the effects of changing stock price fluctuations on market fluctuations, market returns, number of trades, trading volume and stock rotation speed in Tehran Stock Exchange, Financial Research, 2009, 11(27).

[10] Kashanipour, M., Yousefi.Manesh, D., Investigating the effect of changing the rate of stock price volatility on stock returns and trading volume of companies listed on the Tehran Stock Ex-change, Accounting Knowledge, 2012; 4(12): doi:10.22103/jak.2013.523

[11] Kim, W., Sungjae, J., Effects of a Price Limit Change on Market Stability at the Intraday Hori-zon in the Korean Stock Market, Economics Letters. 2018; 3(14): doi:10.1080/13504851. 2018.1488043.

[12] Kim, Y.H., Joes, Y., Relative performance of trading halts and price limit: Evidence from the Spanish Stock Exchange, International Review of Economics and Finance, 2008, 17(1), P.197-215.
doi: 10.1016/j.iref.2007.06.003.

[13] Lin, Ch., Kuan-Cheng, K., Hsiang-Hui, Ch., Information discreteness, price limits and earnings momentum, Pacific-Basin Finance, 2016; 37(2): P.1–22. doi: 10.1016/j.pacfin.2016.02. 003.

[14] Monjzeb, M.R., Ali Mohammadi, M., Permissible range of fluctuations in Tehran Stock Ex-change: its effects, dimensions and analysis, Quarterly Journal of Financial and Economic Policies, 2015, 2(7), P. 72-57. (in Persian). http://qjfep.ir/article1-210.fa.html

[15] Nasr, N., Farhadi Sartangi, M., Madahi, Z., A Fuzzy Random Walk Technique to Forecasting Volatility of Iran Stock Exchange Index, Advances in Mathematical Finance and Applications, 2019, 4(1),
P. 15-30. doi:10.22034/AMFA.2019 .583911.1172.

[16] Osman, U., Lawrence, K., Volatility spillover around price limits in an emerging market, Fi-nance Research Letters Available, 2020; 30(5): doi:101610. 10.1016/j.frl.2020. 101610.

[17] Rezaei, N., Elmi, Z., Behavioral finance models and behavioral biases in stock price forecast-ing. Advances in mathematical finance and applications, 2018; 3(4): P.67-82.
doi:10.22034/ AMFA.2019.576127.1118.

[18] Shafiee, S., Hadi.M., Investigating the effects of stock price fluctuations on the Iranian Stock Exchange, the first international conference on new horizons in the humanities, Tehran: New Hori-zons Science and Technology Association, 2016; 16(1): (in Persian). doi:20160510143337-9856-146

[19] Shariat Panahi, S., Abjadpour, A., The Effect of Daily Price Fluctuation on the Price Behavior of Shares and Investors with Reverse Investment Strategy Approach, Empirical Studies in Financial Accounting, 2011; 9(36):93-121. (in Persian). doi:10.15066653/car.25.1.9

[20] Sharifi, A., Exploration in the range of stock price fluctuations, World of Economics, No. 4499,2011.

[21] Wan, Y., Gang, J., The cooling-off effect of price limits in the Chinese stock markets, Trading and Market Microstructure. doi: 10.1016/j.physa.2018.03.066,2018.

[22] Wong, K., Kong, X., The Magnet Effect of Circuit Breakers and Its Interactions with Price Lim-its, SSRN Electronic Journal, 2016; 3(14): doi:10.2139/ssrn.2897328.

[23] Zarei, B., Moradi, A., Study of the Impact of EPS and the limit of stock price fluctuations on the volume of transactions in the Iranian capital market, 2nd International Conference on Futurology, Management and Economic Development, Mashhad, Torbat Heydari University, 2015; 6(7):128-153.

[24] JI, S. H., YOON, K., The Effects of Widening Daily Stock Price Limits on the Relevance be-tween Audit Quality and Stock Return, The Journal of Asian Finance, Economics, and Business, 2020; 7(4):107-119. doi:10.15722/JDS.17.9.201909.103

[25] Liu, J., Huang, Y., Chang, C. P., Leverage analysis of carbon market price fluctuation in Chi-na, Journal of Cleaner Production, 2020; 9(8); 245, 118557. doi:10.1016/j. jclepro.2019.118557

[26] Liu, C., Wang, C., Financial stability and real estate price fluctuation in China, Physica A: Sta-tistical Mechanics and its Applications, 2020; 3(1): P.540, 122980. doi: 10.1016/j.physa.2019.122980