| 涨跌幅限制与知情投资者行为:基于中国实证 |
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| 引用本文： | 陈浩武,范利民,唐元虎. 涨跌幅限制与知情投资者行为:基于中国实证[J]. 系统工程学报, 2006, 21(5): 524-528 |
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| 作者姓名： | 陈浩武 范利民 唐元虎 |
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| 作者单位： | 1. 上海交通大学安泰管理学院,上海,200030
2. 广西大学商学院财会系,广西,南宁,530004 |
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| 摘 要： | 分析了涨跌幅限制对知情投资者交易行为产生的影响,提出了3种效应,然后综合运用事件研究法和分组比较法,检验了涨跌幅限制在中国股市的运行绩效和股价行为.发现涨跌幅限制对知情投资者交易行为产生重要影响,主要表现在当均衡价格与当前股价有较大偏离时,涨跌幅限制会使知情投资者推迟当前的交易,延缓了均衡价格的实现.
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| 关 键 词： | 涨跌幅限制 内幕信息 价格发现 |
| 文章编号： | 1000-5781（2006）05-0524-05 |
| 收稿时间： | 2004-09-06 |
| 修稿时间： | 2004-09-062006-04-30 |
Price limit and informed investor behavior:Evidence from China stock market |
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| CHEN Hao-wu,FAN Li-min,TANG Yuan-hu. Price limit and informed investor behavior:Evidence from China stock market[J]. Journal of Systems Engineering, 2006, 21(5): 524-528 |
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| Authors: | CHEN Hao-wu FAN Li-min TANG Yuan-hu |
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| Affiliation: | 1. Aetna School of Management of Shanghai Jiaotong University, Shanghai 200030, China; 2. Department of Account of Business School of Guangxi University, Nanning 530004, China |
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| Abstract: | We analyze the possible impact of price limit on informed traders' behavior and propose three effects caused by price limit.Then comprehensively using the events study approach and comparative grouping approach,we empirically examine the performance of price limit in China's stock market.Our finding is that price limit policy will bring significant effect to the trading behavior of insiders,which means price limit policy will impede the fulfillment of insiders' trading activities and delay the discovery of equilibrium price. |
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| Keywords: | price limit insider information price discovery |
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