Bibliographic record
Abstract
Using the expansion of price limit regulation as a quasi-natural experiment, this study explores the trade-off between stock market liquidity and price efficiency where retail investors act as de facto market makers. Our empirical results show a significant variation of retail investors' trading activities after the expansion of the daily price limit. Economically, this variation represents around $26.73 million fewer shares per day traded after the regulatory change. Furthermore, we show that this reduction of retail investors' participation leads to a decrease in liquidity, but an improvement in stock price efficiency. Our empirical findings complement the theoretical work of Subrahmanyam (1991) and Han et al. (2016) and highlight the importance and complexity of retail investors' trading activities. • This study explores the trade-off between stock market liquidity and price efficiency where retail investors act as de facto market makers. • A significant variation of retail investors' trading activities after the expansion of the daily price limit. • We show that this reduction of retail investors' participation leads to a decrease in liquidity, but an improvement in stock price efficiency.
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How this classification was reachedexpand
Full frame machine prediction
Teacher imitationNot calibrated prevalence, not ground truth. Human validation pending. The Gemma side is a direct model label for every work in the frame, read from the title-only record. The Codex side is a classifier learned from the 10,348 direct Codex labels and calibrated to design-weighted sample rates; fields without enough sample support carry no Codex call. Candidate is the union of the two sides; consensus is their intersection. These outputs are machine_predicted_unvalidated and are not human labels.
Distilled classifier scores by category (both heads)
| Category | Codex | Gemma |
|---|---|---|
| Metaresearch | 0.001 | 0.004 |
| Meta-epidemiology (narrow) | 0.000 | 0.000 |
| Meta-epidemiology (broad) | 0.000 | 0.000 |
| Bibliometrics | 0.000 | 0.000 |
| Science and technology studies | 0.000 | 0.001 |
| Scholarly communication | 0.001 | 0.001 |
| Open science | 0.000 | 0.000 |
| Research integrity | 0.001 | 0.001 |
| Insufficient payload (model declined to judge) | 0.007 | 0.000 |
Machine scores (provisional)
The two teacher heads of the student model, read on this work. A score orders the frame for review; it never asserts a category, and the validation status ships verbatim with every row.
Baseline scores from an immature model (maturity gate not passed, 7 training rounds). Scores rank; they never assert a category.
score_only:v0-immature-baseline · verbatim from the scoring run: score_only means the number may rank works, and no category label ships from itClassification
machine, unvalidatedMachine predicted; a candidate call from one source (direct Gemma or distilled Codex), not a consensus.
How this classification was reached, model by model and score by score, is at the end of the page under "How this classification was reached".