针对高频数据的中国股市磁吸效应研究

Magnet Effect in the Chinese Stock Market Based on High Frequency Data

利用上海A股的分笔数据,通过建立logit回归模型来研究中国股市的涨跌幅限制是否存在磁吸效应。实证研究结果表明:随着股价向涨幅限制价格运动,股价继续上升的概率显著上升,涨幅限制存在磁吸效应,且股票当日收益率达到8%之后磁吸效应明显增强;随着股价向跌幅限制价格运动,其继续下降的概率显著下降,跌幅限制不存在磁吸效应,而是存在冷却效应。股票涨停之前流动性明显降低,而跌停之前流动性无明显变化,说明非流动性是导致磁吸效应的主要原因之一。

Abstract： By using the transaction data from Shanghai A - share market and building a Logit model, the study investigates the magnet effect of price limit. Empirical study shows that the probability of priee ineensement inereases signifieantly when reaehing the upper priee limit, whieh is in support of the magnet effeet, and the magnet effeet is stronger after the return reaches 8% than be- fore ; the probability of priee deerease deereases signifieantly, whieh indicates that instead of magnet effect, the cooling off effect of the lower priee limit exists. The liquidity of the stoeks deereases sharp- ly before upper limit hits, and stays steady before lower limit hits, indieating that illiquidity is one of the main causes of magnet effeet.