涨跌幅限制、价格和流动性--基于A＋H股日交易数据的研究

Price Limits, Price and Liquidity: Evidence from Daily Transaction Data of A+H Shares

本文以H股作为控制组,研究A股涨跌幅限制对价格和交易行为的影响。论文研究发现涨跌幅限制降低股票价格有效性,减少了触及涨跌停板交易日股票流动性,但没有发现交易阻碍效应。此外,涨跌停时,H股价格变动幅度越大,A股价格发现延迟越严重。本文以A+H股为研究样本,剔除了以往文献控制组和达到涨跌幅限制组股票之间基本面的差异,保证了研究的准确性和有效性。

This paper explores the effect of price limits on stock price and transaction behavior by using H-share as control group. The results show that, price limits not only reduce the price efficiency but also decrease the stock liquidity on the day of price-limit-hits. However, there is no enough evidence that price limits would interfere with the stock trading processes. We also find that when the closing price is locked at the limits, the greater the magnitude of H-shares price change, the more seriously the price discovery is delayed for A-share. Using the sample of A＋H shares, our research gets rid of the fundamental difference between control group and price-limit-hit stocks to guarantee the accuracy of the results.