基于反事实模拟的中国股市涨跌停板磁吸效应研究

Magnet Effect of Price Limits in China’s Stock Markets Based on Counterfactual Simulation

磁吸效应是市场接近涨跌停板或者熔断阈值时市场价格加速向阈值运动的现象.从反事实模拟思想出发,本文提出类直接比较法,从概率的视角检验中国股票市场中涨跌停板前磁吸效应的特征.即通过类直接比较法生成反事实模拟,构建没有涨跌停限制假设之下股票价格运动的条件概率分布,以此与实际条件概率比较来考察磁吸效应.研究发现,中国股票市场涨跌停板前存在磁吸效应,并且跌停前更强;估值难度、交易活跃程度越高的股票,其磁吸效应越强;相比于开盘股价即接近涨跌停板价的情况,盘中股价接近涨跌停板价的情况下磁吸效应更强.本文还发现磁吸效应的一个可能原因是机构投资者的流动性需求.

Magnet effect is the phenomenon that the price accelerates toward the price limits or circuit breaker when price approaches them.We design a quasi-direct comparison method based on counterfactual simulation to test the effect near price limit events in China’s stock markets.We first construct the theoretical conditional probability distribution of price movement under the counterfactual condition that there isn’t price limit policy,and compare the theoretical and practical conditional probabilities.The results show that magnet effect exists in China’s stock markets,and is stronger near lower price limit than near upper price limit.Further,we find that magnet effect is stronger in harder-to-value stocks and more active-trading stocks.Magnet effect is stronger when a price limit event occurs at the middle of the trading day than what at the opening period of the trading day.One possible reason of magnet effect might be institutional investors’demand for liquidity.