涨跌幅限制对股市风险的影响——来自ST股票的实证研究

Influence of Limiting of rise and dedine on therisk of Stock Market

张跌幅制度是对证券每日交易价格进行限制,旨在降低股市风险,提高市场效率。用Wilcoxon秩和检验和带有涨跌停虚拟变量的GARCH(1,1)模型,对在沪市交易的ST股票在5%涨跌停机制下的收益波动进行了实证研究。结果表明,当前ST股票5%的涨跌幅限制不能降低市场的风险。

Rise and decline range system limit to the negotiable daily transaction price, for the purpose of reducing the stock market risk, enhancing the market efficiency. Examining with the Wilcoxon order and the rising and droping hypothesized variable GARCH （ 1,1 ） the model, research the income under the mechanism in the Shanghai transaction ST stock between 5% rising and droping. The result indicated, current ST stock 5% rising and droping range limit not to be able to reduce the market the risk.