中国权证市场涨跌幅限制效应的实证研究

An Empirical Study on the Effectiveness of Price Limits in China Warrants Market

本文采用了事件分析法和分组比较法结合的方法,并利用非参数检验方法对权证涨跌幅限制的波动溢出效应、价格发现滞后效应及流动性干扰效应进行实证检验。结果表明,我国权证市场涨跌幅限制的效应存在不对称性,即涨幅限制导致了波动溢出效应,增大了权证达到涨幅限制后的流动性;权证的跌幅限制不存在波动溢出效应,但对权证的流动性产生干扰效应。此外,权证的涨跌幅限制产生了价格发现滞后效应。涨跌幅限制在一定程度上干扰了权证市场机制的运行,给权证市场造成了不利的影响。

In this paper, we adopt event methodology and grouping comparison test as well as non-parameter test to do empirical test on the existence of volatility spillover effect, delayed price discovery effect and liquidity disturbing effect. By doing this, we study the performance and effects of price limit system in China warrants market. Our research shows asymmetry between the high and low price limits in the warrants market of China, that is, the high price limit of warrants leads to volatility spillover effect while the low price limit does not, and liquidity disturbing effect exists in the low limit but not in the high limit. In addition, the empirical test shows that the price limit produces delayed price discovery effect. To some extent, price limit disturbs the operation of warrants market mechanisms in China.