涨跌幅限制与流动性研究

给出报价驱动机制下的股票流动性的计算方法,提出指令驱动机制下的股票流动性和市场流动性计算方法,并运用这些度量方法,从不同角度实证研究了涨跌幅限制对流动性的影响。研究结果表明,对整个市场而言,涨跌幅限制不仅没有限制流动性,反而增加了流动性;对个股而言,涨跌幅限制在一定程度上约束了流动性;对ST股票而言,涨跌幅限制为5%时期的流动性大于涨跌幅限制为10%时期的流动性,说明过小的涨跌幅限制存在流动性干扰和过度反应现象。因此,在增加市场交易透明度的基础上,适当放宽涨跌幅限制,特别是对小盘股、绩差股、信誉低的上市公司继续实行涨跌幅10%的限制,而对大盘股、绩优股、高市值股和信誉高的上市公司放宽或取消涨跌幅限制,有利于增加市场的流动性。

The Study on Price Limits and Stock Market Liquidity

First of all, this paper gives the calculational methods of stock liquidity in the quote-driven system. Secondly the calculational methods of stock liquidity and market liquidity in the order-driven system is put forward, and then different aspects empirically from studies, the impact of price limits on liquidity in Shanghai Stock Exchange. The result indicates that under certain condition, appropriate price limits can not restrict the market liquidity, moreover,it may augment the market liquidity. Inversely, improper price limits to some extent restrict the market liquidity. Therefore, on the basis of increasing the market transparency, especially under some necessary conditions,the 10% price limits can continue for those listed companies which have small-cap, bad performance and low credit standing. The price limits can be broadened or abrogated for those listed companies which have big-cap, good performance and low credit standing. The price limits can be broadened or abrogated for those listed companies which have big-cap, good performance and high credit standing. This will be good to the healthy and stable development.