Unintended consequences of quote limits policy on stock market dynamics: evidence from the MF-X-DMA analysis
IntroductionThis study investigates the effect of recently implemented quote limits policy in China’s A-share Main Board market, a mechanism designed to enhance market stability. We examine whether this policy achieves its goals uniformly across distinct large-cap (HS300) and mid-to-small cap (CSI50...
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Frontiers Media S.A.
2025-07-01
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| Series: | Frontiers in Physics |
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| Online Access: | https://www.frontiersin.org/articles/10.3389/fphy.2025.1642788/full |
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| author | Dayong Lv Yaping Zhou Jiarui Zhang Linsen Yin |
| author_facet | Dayong Lv Yaping Zhou Jiarui Zhang Linsen Yin |
| author_sort | Dayong Lv |
| collection | DOAJ |
| description | IntroductionThis study investigates the effect of recently implemented quote limits policy in China’s A-share Main Board market, a mechanism designed to enhance market stability. We examine whether this policy achieves its goals uniformly across distinct large-cap (HS300) and mid-to-small cap (CSI500) market segments.MethodsUtilizing the Multifractal Detrending Moving Average Cross-Correlation analysis (MF-X-DMA) and the nonlinear Granger causality test, we assess the policy’s potential heterogeneous impact on these two indices.ResultsOur findings reveal that the policy decreases market efficiency and increases cross-market co-movement complexity for HS300, while conversely improving market efficiency and information flow for CSI500.DiscussionWe offer novel empirical evidence on this policy using nonlinear methods. Our findings highlight the potentially divergent and unintended consequences of “one-size-fits-all” financial regulations across varied market segments, providing valuable insights for policymakers. |
| format | Article |
| id | doaj-art-0708c242bd774ef59cbba8099d898596 |
| institution | Kabale University |
| issn | 2296-424X |
| language | English |
| publishDate | 2025-07-01 |
| publisher | Frontiers Media S.A. |
| record_format | Article |
| series | Frontiers in Physics |
| spelling | doaj-art-0708c242bd774ef59cbba8099d8985962025-08-20T03:49:51ZengFrontiers Media S.A.Frontiers in Physics2296-424X2025-07-011310.3389/fphy.2025.16427881642788Unintended consequences of quote limits policy on stock market dynamics: evidence from the MF-X-DMA analysisDayong Lv0Yaping Zhou1Jiarui Zhang2Linsen Yin3School of Financial Technology, Shanghai Lixin University of Accounting and Finance, Shanghai, ChinaAntai College of Economics and Management, Shanghai Jiao Tong University, Shanghai, ChinaSchool of Economics and Management, Tongji University, Shanghai, ChinaSchool of Financial Technology, Shanghai Lixin University of Accounting and Finance, Shanghai, ChinaIntroductionThis study investigates the effect of recently implemented quote limits policy in China’s A-share Main Board market, a mechanism designed to enhance market stability. We examine whether this policy achieves its goals uniformly across distinct large-cap (HS300) and mid-to-small cap (CSI500) market segments.MethodsUtilizing the Multifractal Detrending Moving Average Cross-Correlation analysis (MF-X-DMA) and the nonlinear Granger causality test, we assess the policy’s potential heterogeneous impact on these two indices.ResultsOur findings reveal that the policy decreases market efficiency and increases cross-market co-movement complexity for HS300, while conversely improving market efficiency and information flow for CSI500.DiscussionWe offer novel empirical evidence on this policy using nonlinear methods. Our findings highlight the potentially divergent and unintended consequences of “one-size-fits-all” financial regulations across varied market segments, providing valuable insights for policymakers.https://www.frontiersin.org/articles/10.3389/fphy.2025.1642788/fullquote limitsMF-X-DMAA-sharenonlinear Granger causalitycross-correlation |
| spellingShingle | Dayong Lv Yaping Zhou Jiarui Zhang Linsen Yin Unintended consequences of quote limits policy on stock market dynamics: evidence from the MF-X-DMA analysis Frontiers in Physics quote limits MF-X-DMA A-share nonlinear Granger causality cross-correlation |
| title | Unintended consequences of quote limits policy on stock market dynamics: evidence from the MF-X-DMA analysis |
| title_full | Unintended consequences of quote limits policy on stock market dynamics: evidence from the MF-X-DMA analysis |
| title_fullStr | Unintended consequences of quote limits policy on stock market dynamics: evidence from the MF-X-DMA analysis |
| title_full_unstemmed | Unintended consequences of quote limits policy on stock market dynamics: evidence from the MF-X-DMA analysis |
| title_short | Unintended consequences of quote limits policy on stock market dynamics: evidence from the MF-X-DMA analysis |
| title_sort | unintended consequences of quote limits policy on stock market dynamics evidence from the mf x dma analysis |
| topic | quote limits MF-X-DMA A-share nonlinear Granger causality cross-correlation |
| url | https://www.frontiersin.org/articles/10.3389/fphy.2025.1642788/full |
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