01313nas a2200157   4500008004100000245008000041210006900121260000900190300001200199490000700211520077500218653001200993100001801005700001601023856011601039       2008                        eng d00aThe Effect of Price Limits on Intraday Volatility and Information Asymmetry0 aEffect of Price Limits on Intraday Volatility and Information As  c2008  a522-5380 v163 aWe investigate the effect of price limits on intra-day volatility and information asymmetry using transactions data from the Taiwan Stock Exchange. Proponents of price limits argue that they provide an opportunity for investors to reevaluate market information and make more rational trading decisions. We identify three different limit hits – closing, single, and consecutive – and hypothesize that only the consecutive limit hits are likely to provide such an opportunity, namely, to counter investor overreaction (volatility hypothesis) and to enhance information revelation (information asymmetry hypothesis). Our empirical evidence supports the volatility hypothesis. Our findings generate important policy implications for stock markets that have price limits.10aFinance1 aKim, Yong, H.1 aYang, Jimmy  uhttps://dev.business.oregonstate.edu/biblio/effect-price-limits-intraday-volatility-and-information-asymmetry-0