The strategy of trading on the daily limit up,also known as "hit the board",has always been a popular short-term investment strategy in the market.After several adjustments to price limit system in China’s stock market,there are mainly three ranges of price fluctuations: daily price limit of 10%,daily price limit of 20%,daily price limit of 30%.Whether the strategy of trading on the daily limit up can achieve excess returns under this unique price limit system,draws great interest from short-term investors.With all stocks data obtained in China A-share market from June 11,2018 to June12,2022,by adopting event study method,the article empirically analyzes the effectiveness of the strategy of trading on the daily limit up.It studies abnormal returns in the following two situations: stock market closed at the upper price limit,a stock hitting the limit-up during market hours but did not close limit-up,and carries out significance test.Meanwhile,it constructs a multiple linear regression model to analyze the impacts of turnover rate,daily volatility,trading volume,and outstanding shares on abnormal returns.The empirical study finds that the as price limit changed,investment portfolios bought on the daily limit-up can possibly achieve excess returns in a while.However,the investment portfolios bought on stocks that hit the limit-up during market hours but did not close limit-up cannot achieve excess returns.Trading volume and daily volatility are positively correlated with the abnormal returns,while turnover rate,outstanding shares are negatively correlated.With the extension of the window period,the abnormal returns of the "hit the board" strategy becomes more unpredictable.As computer technology improves with leaps and bounds and quantitative trading gains increasing popularity,the strategy of trading on the daily limit up becomes more difficult for individual investors to operate.It will be an important research direction for investors and scholars in the future to promote continuous optimization in the "hit the board" strategy and to study the best buying and selling opportunities. |