International Journal of Accounting and Financial Reporting ISSN 2162-3082 2019, Vol. 9, No. 3 http://ijafr.macrothink.org 110 Do Price Limits Change Investors Behavior: Evidence From the Tunisian Stock Exchange Eymen Errais (Corresponding author) LAREQUAD & Tunis Business School University of Tunis, Tunisia E-mail: eymen@stanfordalumni.org Jawhar Albacha Department of Quantitative Methods Faculty of Economic and Managerial Sciences University of Tunis El Manar, Tunis, Tunisia Received: June 19, 2019 Accepted: August 19, 2019 Published: August 26, 2019 doi:10.5296/ijafr.v9i3.15029 URL: https://doi.org/10.5296/ijafr.v9i3.15029 Abstract Several stock exchanges are subject to some authorities’ regulations, constraints and limitations such as price limits. In this paper, we address the issue of microstructure effects due to price limits. In particular, stocks returns show a non-normal behavior in the case of price limits. This non-normality could be coming from a change in investors' behavior, valuation effect, or a change in the stock returns statistical properties, value effect. In order to analyze this joint-hypothesis, we defined a new normality test that takes into account the truncation effect, the Truncated Jacobi-Bellman (TJB) test. Our results show that the Value effect has a limited explanation of the stock return behavioral change. Keywords: Price limits, Truncated time series, Truncated normal distribution, JB test, Maximum likelihood estimator 1. Introduction To limit asset prices volatility, many stock exchanges impose daily price limits, i.e. today's prices trade within a certain range of yesterday's closing prices. There is a long-haul debate