证券市场价格涨跌幅限制制度的实验研究

An Experimental Study on the Prices Cap and Floor Limit System of Securities Market

采用实验经济学的研究方法在信息对称的实验室股票市场中检验有效市场假说,检验价格涨跌幅限制制度是否能减少股票价格波动和市场的过度投机行为,从而促进市场有效性的提高。实验结果表明,在信息对称的实验室股票市场中,股票交易价格在一定程度上偏离了股票的基本价值,出现了价格偏高或偏低现象,与有效市场假说相悖;并且,价格涨跌幅限制制度不能减少股票价格波动和市场的过度投机行为,反而在很大程度上阻碍了股票交易价格向基本价值靠近的速度,降低了市场有效性,同时也不能降低股票换手率,未能减少市场中投机性交易的数量。证券市场交易制度的政策制定者可以重新评估价格涨跌幅限制制度的作用,进一步深入研究证券市场价格涨跌幅限制制度的合理性。

Based on the method of experimental economics,a test is made on the effective market hypothesis in the information symmetric laboratory stock markets,considering whether the price cap and floor limit system can reduce stock price volatility and excessive speculation in the market,so as to improve the effectiveness of the markets. The experimental results show that in the symmetrical information laboratory stock market,the stock trading prices deviate from the basic value of the stock to a certain extent with higher or lower prices,and contrary to the effective market hypothesis; in the symmetrical information laboratory stock markets,the price cap and floor limit system cannot reduce the excessive speculation and stock price volatility in the market,on the contrary,to a large extent,hindered the speed of the stock trading prices close to the basic value,hence reducing the market efficiency,but also reducing the stock turnover rate,without the number of speculative trading in the market decreased. It＇s time for the policy makers of the stock market trading system to re-evaluate the role of the price cap and floor limit system and discuss its rationality.