ORIGINAL RESEARCH article
Front. Phys.
Sec. Social Physics
Volume 13 - 2025 | doi: 10.3389/fphy.2025.1642788
This article is part of the Research TopicFinance and Production Complex SystemsView all 17 articles
Unintended Consequences of Quote Limits Policy on Stock Market Dynamics: Evidence from the MF-X-DMA Analysis
Provisionally accepted
- 1Shanghai Lixin University of Accounting and Finance, Shanghai, China
- 2Shanghai Jiao Tong University, Shanghai, China
- 3Tongji University, Shanghai, China
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Introduction: This 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.Methods: Utilizing 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.Results: Our 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.Discussion: We 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.
Keywords: Quote limits, MF-X-DMA, A-share, Nonlinear Granger causality, cross-correlation
Received: 07 Jun 2025; Accepted: 24 Jun 2025.
Copyright: © 2025 Lv, Yaping, Jiarui and Linsen. This is an open-access article distributed under the terms of the Creative Commons Attribution License (CC BY). The use, distribution or reproduction in other forums is permitted, provided the original author(s) or licensor are credited and that the original publication in this journal is cited, in accordance with accepted academic practice. No use, distribution or reproduction is permitted which does not comply with these terms.
* Correspondence: Yin Linsen, Shanghai Lixin University of Accounting and Finance, Shanghai, China
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