涨跌幅限制：是否稳定了股票市场？--基于GARCH事件模型的实证检验

Price Limits:Stabilize or Destabilize the Markets?——Direct Test Based on the GARCH-Event Model

本文应用GARCH事件模型对涨跌幅限制政策实施前后市场波动的结构性变化进行了实证检验。研究发现,涨跌幅限制政策对我国股市的波动性具有一定的抑制作用,但是非常有限,同时,涨跌幅对A股市场和B股市场波动性的影响相反。因此,涨跌幅限制并没有如预期的那样发挥比较大的稳定作用,应该适当修正或放宽该政策。

Price limit policy had been implemented in 1999 to stabilize the market. How about the effection of this policy？ We try to analysis the effection of the policy with the GARCH model. We found that the policy exerts good influence to the stability of the stock market, on the long range, the policy reduced the instability about 13 percent, however elevated instability of the B market about 8 percent. The policy had not exerted the anticipated effection, so it should be corrected rightly.