| 涨跌幅限制对股票市场波动性的影响 |
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| 引用本文： | 刘海龙,吴文锋,吴冲锋. 涨跌幅限制对股票市场波动性的影响[J]. 上海交通大学学报, 2005, 39(10): 1569-1573 |
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| 作者姓名： | 刘海龙 吴文锋 吴冲锋 |
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| 作者单位： | 上海交通大学,安泰管理学院,上海,200052;上海交通大学,安泰管理学院,上海,200052;上海交通大学,安泰管理学院,上海,200052 |
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| 基金项目： | 国家自然科学基金资助项目（70173031） |
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| 摘 要： | 运用Schwert提出的计算波动性方法，从不同角度实证研究了中国证券交易实行涨跌幅限制对股票市场波动性的影响．结果表明，在一定条件下，恰当的涨跌幅限制约束了市场剧烈波动；不恰当的涨跌幅限制不仅对波动性没有约束，反而在一定程度上增加了波动性．提出了在增加市场交易透明度的基础上，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取消涨跌幅限制的建议．
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| 关 键 词： | 涨跌幅限制 波动性 价格发现延迟 磁石效应 |
| 文章编号： | 1006-2467(2005)10-1569-05 |
| 收稿时间： | 2004-09-08 |
| 修稿时间： | 2004-09-08 |
Impact of Price Limits on Stock Market Volatility |
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| LIU Hai-long,WU Wen-feng,WU Chong-feng. Impact of Price Limits on Stock Market Volatility[J]. Journal of Shanghai Jiaotong University, 2005, 39(10): 1569-1573 |
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| Authors: | LIU Hai-long WU Wen-feng WU Chong-feng |
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| Affiliation: | Antai School of Management, Shanghai Jiaotong Univ. , Shanghai 200052,China |
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| Abstract: | This paper studied the impact of price limits on the volatility in the stock exchange of China in different aspects, by using the model of volatility introduced by Schwert. The results show that under a certain condition, appropriate price limits can reduce the market volatility. And inappropriate price limits will exacerbate the market volatility. Therefore, for those listed companies which have small-cap, bad performance and bad reputations, it is suitable to keep 10% price limits policy to increase the market transparency. While for those companies which have big-cap, good performance and reputations, broadening or withdrawing the price limits is reasonable. This treatment will promote the healthy and stable development of stock markets. |
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| Keywords: | price limits volatility delay of price discovery magnet effect |
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