| 股本规模、价格触限频率与波动溢出效应——来自沪深股市的实证研究 |
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| 引用本文： | 钟凡,韩文强.股本规模、价格触限频率与波动溢出效应——来自沪深股市的实证研究[J].系统工程,2008,26(4):30-35. |
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| 作者姓名： | 钟凡 韩文强 |
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| 作者单位： | 1. 中南大学,商学院,湖南,长沙410083;中国人寿保险股份有限公司,北京100020
2. 中南大学,商学院,湖南,长沙410083 |
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| 摘 要： | 首先运用广义矩估计(GMM)方法,对沪深股市公司价格触限频率与股本规模之间的关系进行回归分析.其次采用事件分析法对涨跌停现象进行波动溢出效应检验.结果表明:流通股本规模越小的公司,其价格触限频率更高,而中小企业板股票的价格触限频率高于主板股票近两个百分点.而股本规模与其波动溢出效应的关系并不明显.研究说明中小企业板的涨跌停幅度应大于主板幅度,以更好地体现价格限制制度的作用.
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| 关 键 词： | 股本规模 涨跌幅限制 价格触限频率 波动溢出效应 中小企业板 股本规模 价格 频率 波动溢出效应 沪深股市 实证研究 Scale Equity Effect Volatility Price Frequency Shenzhen stock market Shanghai 作用 限制制度 主板 股票 中小企业板 流通 |
Equity Scale, Frequency of Hitting Price Limit and Volatility Spill-out Effect——A Empirical Research of Shanghai and Shenzhen stock market |
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| Zhong Fan,Han Wen-qiang.Equity Scale, Frequency of Hitting Price Limit and Volatility Spill-out Effect——A Empirical Research of Shanghai and Shenzhen stock market[J].Systems Engineering,2008,26(4):30-35. |
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| Authors: | Zhong Fan Han Wen-qiang |
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| Institution: | Zhong Fan1,2,Han Wen-qiang1(1.School of Business,Central South University,Changsha 410083,China,2.China Life Insurance Company Limited,Beijing 100020,China) |
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| Abstract: | Daily price limits in the securities markets may affect certain securities more often securities.To examine the correlation between the equity scale and frequency of hitting price limits,we examine two markets that impose daily price limit(Shanghai and Shenzhen stock market).We estimate the model by using the generalized method of moments(GMM).Then,we examine the volatility spill-out effect by event-study analysis.Finally,we draw the conclusion that the smaller equity scale is,the higher frequency the hitti... |
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| Keywords: | Equity Scale Price Limit Frequency of Hitting Price Limit Volatility Spill-out Effect SMEs Board |
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