涨跌停限制磁性效应加速特征研究——基于中国A股市场高频交易数据挖掘

The Acceleration Characters of the Magnet Effect on Price Limit:Research Based on Chinese Stock Market High Frequency Data

本文选取中国A股市场1003只股票作为研究对象，运用二次函数模型，通过对考察期内高频数据的挖掘，从收益率和交易量两个层面，分析股票涨跌停前30分钟磁性效应的加速度、加速拐点和加速持续期三个特征。研究发现，收益率和交易量涨跌停前的磁性加速现象显著存在；犬盘股涨停前收益率的加速度与跌停前加速度对称，小盘股收益率涨停前加速度大于跌停前加速度，并且两加速度均大于大盘股；上午涨跌停收益率磁性加速度大于下午涨跌停；上涨过程交易量磁性加速度大于下跌过程；收益率的拐点和加速持续期在同一过程中与交易量的拐点和加速持续期基本一致。

Adopting 1003 stocks as objects and their high frequency exchange data as samples, this paper studies the acceleration characters of the magnet effect on price limit, such as acceleration rate, turning point, and acceleration persistence from two dimensions： price and trade volume. It is surveyed that there is significant acceleration characters of magnet effect on price and trade volume; the small scale stocks have a higher acceleration rate on price than large scale stock; it has a higher acceleration rate on price when it is happened at morning than at afternoon; it has a higher acceleration rate on volume when it is going up than going down; the turning point and the persistence time are similitude on price and volume.