摘要
利用上海A股市场的股票高频交易数据,对涨跌幅限制措施所导致的日内效应"磁吸效应"进行了研究。从收益率、交易量、波动性三个方面对磁吸效应的存在进行了检验,发现在上海A股市场,存在显著的磁吸效应,并且磁吸效应并不对称,涨停板导致的磁吸效应要大于跌停板导致的磁吸效应。随着价格在触板前的加速运动,交易量也显著放大,价格波动性也显著增加,反映了投资者为了避免流动性的丧失和连续交易的被干扰,非理性情绪增加而纷纷提前交易,同时也导致了日内价格更剧烈的波动。
The study investigated the interday effect ＂magnet effect＂ caused by price limit, using the high-frequency data of Shanghai A-share market. We examined the existence of magnet effect in rate of return, trading volume and volatility, discovered significant magnet effect in Shanghai A-share market and the asymmetry of magnet effect, which the magnet effect is heavier before upper limit-hit than lower limit-hit. The trading volume and volatility become s significantly increased when price approaching the limit price at a positive acceleration. This phenomenon reflects investors rush to trade in afraid of illiquidity risk and interruption of continuous trading activity, which exacerbate the volatility when stock price approaching the price limit.
出处
《系统工程》
CSCD
北大核心
2007年第11期48-53,共6页
Systems Engineering
基金
国家社会科学基金资助项目(05BJY010)
教育部博士点基金资助项目(20030532012)
关键词
磁吸效应
收益率
交易量
波动性
Magnet Effect
Rate of Return
Trading Volume
Volatility
