股本规模、涨跌幅限制与磁石效应——基于沪深A股市场高频数据的实证研究

Stock Size, Price Fluctuation Limits and the Magnet Effect --An empirical study based on the high--frequency data of the Shanghai and Shenzhen A--share markets

基于CRTT模型，运用广义矩估计（GMM）方法，依股本规模分类对沪深A股市场进行实证分析。结果表明：沪深A股市场的涨跌幅限制存在显著的磁石效应。大规模、小规模股票磁石效应更为明显；中等规模股票磁石效应具有一定的对称特征。我国的涨跌幅限制应取更灵活的幅度限制，以促进股市的平稳健康发展。

An empirical study of the Shanghai and Shenzhen A stock markets is made based on the classification of the stock sizes using the CRTT model and the GMM method, The results show that in the price fluctuation limits by the Shanghai and Shenzhen A-share stock markets there exist the magnet effect which is more obvious in both big and small stocks. However, for medium size stocks the magnet effect is symmetric to a certain degree. Chinas price fluctuation limits should be more flexible so as to promote the steady and healthy development of the stock market.