摘要
本文在事件研究法基础上,运用ARCH模型族和多种统计检验等方法对上海A股市场在1996年12月16日重新设立涨跌幅限制前后两阶段个股价格行为的变化进行分析,估计股价长期波动,用自相关函数揭示股价依赖性,并综合比较多种流动性指标,从而深刻理解涨跌幅限制设立给股市带来的影响.研究发现在设立涨跌幅限制后,市场波动降低了,股票均衡价格的发现并未被延迟,但给流动性带来了一定的不利影响.
In order to find out the effects on stock prices of price limits,this paper analyzes the data of Shanghai A-Share Stock Exchange by using ARCH models and many kinds of statistical testing methods,which is on the base of event study.Having estimated the long-term fluctuation,discovered the dependency among stock prices with autocorrelation function and compared lots of the liquidity scale,this paper makes the conclusion that price limits does not delay the stocks return to the equilibrium price and can reduce the market fluctuation,but it may make the market liquidity a little worse.
出处
《天津理工大学学报》
2013年第3期54-59,共6页
Journal of Tianjin University of Technology
关键词
涨跌幅限制
波动
价格发现
流动性
price limits
market fluctuation
the equilibrium price
market liquidity
