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中国股市价格限制磁性效应实证研究 被引量：1

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摘要 基于中国证券市场72只样本股票,通过对其TICK数据处理,并提取1分钟数据,运用DJGR模型对中国股市磁性效应进行实证检验后发现:中国股市存在显著磁性效应;小盘股磁性效应比大盘股更为显著;下跌过程磁性效应比上涨过程更为显著;触发价格较低时的磁性效应比触发价格较高时更为显著。磁性效应给市场提供了监管启示,就是对小盘股与大盘股实行市场分离以及不同市场、不同标准、分类要求、分类监管等措施。
作者 刘衡郁
机构地区 上海财经大学金融学院
出处 《当代财经》 CSSCI 北大核心 2008年第3期47-52,共6页 Contemporary Finance and Economics
关键词 价格限制 磁性效应 DJGR模型 触发价格
分类号 F830.91 [经济管理—金融学]
  • 相关文献

参考文献13

  • 1Cho, David, Jeffrey Russell. The magnet effects of price limits: Evidence from high-frequency data on Taiwan stock exchange [J]. Journal of Empirical Finance, 2003, (10).
  • 2Kuserk, Gregory J., Eugene Moriarty, Betsey Kuhn, and J. Douglas Gordon. An analysis of the effect of price limits on price movements in selected commodity futures markets[R]. CFTC Division of Economic Analysis Research Report, 1989.
  • 3Arak, Marcelle, and Richard E. Cook.. Do daily price limits act as magnets? [J]. Journal of Financial Services Research, 1997, (12).
  • 4Miller, Merton H.. Volatility, episodic volatility and coordinated circuit-breakers, in S[C]. Ghon Rhee and Rosita P. Chang ed.: Pacific-Basin Capital Markets Research Volume Ⅱ, 1991 : 23-47.
  • 5Gerety, Mason S., and J. Harold Mulherin. Trading halts and market activity: an analysis of volume at the open and the close[J]. Journal of Finance, 1992, (5).
  • 6Subrahmanyam, Avanidhar. Circuit breakers and market volatility: a theoretical perspective[J]. Journal of Finance, 1994, (49).
  • 7Brennan, M. E.A Theory of Price Limits in Futures Markets [J]. Journal of Financial Eeonomics, 1986, (16).
  • 8Kodres L E,O'Brien D P. The existence of pareto superior price limits and trading halts[J]. American Economic Review, 1994, (4).
  • 9Ma, Christopher K., Ramesh P. Rao, and R. Stephen Sears. Volatility, price resolution, and the effectiveness of price limits[J]. Journal of Financial Services Research, 1989, (3).
  • 10Fama E. F.. "Perspective on October 1987, or What Did We Learn form the Crash?" [C]. Black Monday and the Future of the Financial Markets. Irwin: Homewood, 1989.

二级参考文献6

  • 1何杰.《证券交易制度论》[M].经济日报出版社,2000..
  • 2Chen.H.,1998,“Price Limits,Overreaction,and Price Resolution In Futures Markets”,The Journal Of Futures Markets,Vol.18,No.3,pp243-263.
  • 3Harris.L.,1998,“Circuit Breakers and Program Trading Limits:What Have We Learned?”Working Paper of the Marshall School of Business,University of Southern California.Lee.J.H.,2000,“The Effects of Price Limits on Overreaction and Information Asymmetry:Evidence from the Taiwan Stock Market”,Advances in Pacific Basin Financial Markets,Vol.6,pp57-69.
  • 4Limpaphayom.P.,2000,“Characteristic of Stocks that Frequently Hit Price Limits:Empirical Evidence from Taiwan and Thailand”,Journal Of Financial Markets,No.3,pp315-322.
  • 5Kim.K.A.,and S.G.Rhee,1997,“Price Limit Performance:Evidence from the Tokyo Stock Exchange”,The Journal of Finance,Vol.L11,No.2,pp885-901.
  • 6Park.C.W.,2000,“Examining Futures Price Changes and Volatility on the Trading Day after A Limit-Lock Day”,The Journal Of Futures Markets,Vol.20,No.5.

共引文献42

同被引文献7

  • 1Kuserk, Gregory J. , Eugene Moriarty, Betsey Kuhn, and J. Douglas Gordon, 1989. An analysis of the Effect of Price Limits on Price Movements in Selected Commodity Futures Markets, CFTC Division of Economic Analysis Research Report.
  • 2Arak, Marcelle, and Richard E. Cook, 1997. Do Daily Price Limits Act as Magnets? The Case of Treasury Bond Futures, Journal of Financial Services Research Vol. 12, No. 1 : 5-20.
  • 3Huang, Y. , Fu, T. and Ke, M. , 2001. Daily Price Limits and Stock Price Behav ior:Evidence from the Taiwan Stock Exchange, International Review of Economics and Finance, Vol. 10.
  • 4Cho, David, Jeffrey Russell, George Tiao, and Ruey Tsay, 2003. The Magnet Effects of Price Limits: Evidence from High - frequency Data on Taiwan Stock Exchange, Journal of Empirical Finance ,Vol. 10, No. 1 : 133-168.
  • 5Subrahmanyam, Avanidhar, 1994. Circuit Breakers and Market Volatility: a Theoretical Perspective, Journal of Finance . Vol. 49, No. 1 : 237-254.
  • 6Gerety, Mason S. , and J. Harold Mulherin, 1992. Trading Halts and Market Activity: an Analysis of Volume at the Open and the Close, Journal of Finance . Vol. 47, No. 5: 1765-1784.
  • 7Miller, Merton H. , 1991. Volatility,Episodic Volatility and Coordinated Circuit - breakers, in S. Ghon Rhee and Rosita P. Chang ed. : Pacific - Basin Capital Markets Research Voh II, 23- 47.

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当代财经
2008年 第3期

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