中国证券市场涨跌幅限制的磁力效应研究--兼论适当放宽涨停限制的合理性

Magnet effect of price limit in China stock market——A suggestion to broaden the upper price limit

证券日内价格的涨跌幅限制是抑制市场过度波动最常见的手段之一.磁力效应和冷却效应何者占主导则是该政策争论的焦点.文中提出了一个检验证券市场磁力效应存在性的计量模型,并利用中国证券市场的日内高频交易数据进行了实证分析.研究结果发现了在达到涨停过程中磁力效应存在的证据,而在跌停过程中磁力效应并不明显.在实证的基础上,文中建议适当放宽涨停限制范围,采用涨停限制和跌停限制不对称的方法来提高该交易机制的市场作用.

Stock＇ s daily price limits are one of the most used approaches to restrain the excessive volatility of stock market. But the debate that whether cool effect or magnet effect is the predominant effect becomes the focus of the policy for a long time since it has been put forward. An econometric model is constructed to test the existence of magnet effect in the paper. With China stock market＇ s intraday trading data, some empirical research is done and shown that there exists strong upward magnet effect but weak downward effect in it. Based on the empirical work, it is suggested that broaden the range of upper limit and use such a mechanism that using asymmetric width between upper limit and low limit to improve its performance.