This paper explores whether the regulation of price limits in financial markets will result in the autocorrelation of stock return series. The results of Monte Carlo Experiment under different error term distribution hypothesis suggest that such price limit mechanism will result in a positive first-order autocorrelation of return series. The results indicates that some statistics in empirical finance literature for testing random walk or market efficiency, for example, the variance ratio of Lo and MacKinlay(1988), may be biased when the stock price is subject to the price limit. This paper also suggests that the further research on the price limit is necessary when more exchanges adopt such regulations in the world.

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