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.
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.
出处
《系统工程学报》
CSCD
北大核心
2006年第5期524-528,共5页
Journal of Systems Engineering
