In this paper, we examine the effects of price limits as a mechanism of government intervention in stock markets. By comparing the empirical performances of A-share (with price limits) and H-share (without price limits) stocks issued by dual-listed firms, our results show leptokurtic characteristics presented in stock returns under price limits. After fitting into a stable distribution, we find that A-share stocks experience greater tail risk than H-share stocks. The price limit rule can potentially amplify the likelihood of extreme movements of stock returns. This impact was notably evident during the 2015 stock market crash, but not during the COVID-19 pandemic. Additionally, the impact of price limits on stock volatility on the next trading day is asymmetric, with a more significant result of hitting the lower price limit than of hitting the upper price limit. Taken together, our findings suggest that the imposition of price limits exacerbates stock tail risk.