涨跌幅限制与股票价格行为分析被引量：11

Stock price behaviors under price constrains

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摘要对于股票在达到涨跌幅限制后价格如何变化的解释有两种假设:信息假设和过度反应假设.通过对1997年到2000年上海证券交易所股票在达到涨跌幅限制后隔夜期间与交易期间的非正常收益进行检验,以揭示达到涨跌幅限制后股票的价格行为.结果表明在达到涨跌幅限制后的隔夜期间股票价格存在价格持续现象,而在交易期间存在价格反转现象.这个结果一方面说明了沪市存在着过度反应,另一方面也说明了上海证券交易所10%的涨跌幅限制在限制噪声交易者的过度反应有一定的作用. The overreaction hypothesis and the information hypothesis are two major hypotheses regarding the effects of price constrains on stock price behavior. This paper examines the price behavior of limit moves for stocks listed on the Shanghai Stock Exchange over the period 1997—2001. The results indicate the price continuations for the overnight period following limit moves and the price reversals for the subsequent trading time period. These results show that the noise traders on Shanghai stock market overreact to new information. On the other hand, the price constrains on Shanghai Stock Exchange restrict the overreaction.

作者穆启国刘海龙吴冲锋

机构地区上海交通大学金融工程研究中心

出处《管理科学学报》 CSSCI 2004年第3期23-30,共8页 Journal of Management Sciences in China

基金国家杰出青年科学基金资助项目(70025303) 国家自然科学资金资助项目(70173031) 教育部跨世纪优秀人才基金资助项目.

关键词涨跌幅限制过度反应隔夜期间交易期间 price constrains overreaction overnight trading time

分类号 F830.91 [经济管理—金融学]

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参考文献12

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