| 影响股票达到涨跌幅限制的因素分析 |
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| 引用本文： | 穆启国,刘海龙,吴冲锋.影响股票达到涨跌幅限制的因素分析[J].系统工程理论与实践,2003,23(9):61-66. |
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| 作者姓名： | 穆启国 刘海龙 吴冲锋 |
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| 作者单位： | 上海交通大学安泰管理学院金融工程研究中心 |
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| 基金项目： | 国家杰出青年科学基金(70025303)，国家自然科学资金(70173031)，教育部跨世纪优秀人才基金 |
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| 摘 要： | 运用广义矩估计GMM(thegeneralizedmethodofmoment)方法,对上海证券交易所股票达到涨跌幅限制的频率与影响股票价格的因素进行回归分析,以验证是否存在某些内在因素促使一部分股票比其他股票更频繁地达到涨跌幅限制.结果表明:波动性大和交易频率高的股票达到涨跌幅限制的频率较高.另一方面上海证券交易所10%的跌幅限制是限制了临时波动,对基本波动没有影响;而10%的涨幅限制既限制了临时波动,也限制了基本波动,从而使得价格发现过程受到干扰,影响了股票的合理定价.
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| 关 键 词： | 涨跌幅限制 系统风险 非系统风险 交易频率 BM值 |
| 文章编号： | 1000-6788(2003)09-0061-06 |
| 修稿时间： | 2001年12月27 |
The Factor Analysis of Frequently Price-limit-hits |
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| Qi Guo MU,Hai Long LIU,Chong Feng WU.The Factor Analysis of Frequently Price-limit-hits[J].Systems Engineering —Theory & Practice,2003,23(9):61-66. |
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| Authors: | Qi Guo MU Hai Long LIU Chong Feng WU |
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| Institution: | The Center of Finance Engineering, Management School, Shanghai Jiaotong University |
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| Abstract: | Daily price limits in the securities markets may affect certain securities more often than other securities. To examine this issue empirically, we examine the shanghai stock exchange that impose daily price limits. We estimate the model using the generalized method of moments (GMM). Overall, we find that volatile stocks, actively traded hit price limits more often than other stocks in the Shanghai Stock Exchange. On the other hand, The upper price limit in the shanghai stock exchange restrict the basic vola... |
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| Keywords: | price limits systematic risk unsystematic risk trading frequency book-to-market value |
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