股票市场涨跌停影响因素及定价效应

The Influencing Factors of the Limit-hit Frequency on Pricing Effects in China Stock Market

本文基于涨跌停频率信息和Fama-MacBeth回归方法,使用1998年1月—2017年6月沪深所有A股月度收益率数据,就涨跌停板制度对中国股市定价效应的影响问题进行考察。研究结果表明,动量因子在我国股票市场具有显著的定价效应,涨跌停板制度通过涨跌停频率与动量因子的交积效应影响股票定价,有限套利理论和有限关注行为能对其进行很好的解释。个股涨跌停频率不仅与系统性风险和非系统性风险紧密相关,还受公司规模、账面市值比和公司年龄等因素影响。对维护市场稳定和防范系统性风险而言,应理清交易制度作用于市场定价的具体机制,重视涨跌停频率的驱动成因及其蕴含的系统性风险信息。

Based on the information of limit-hit frequency and Fama-MacBeth cross-sectional regressions method, this paper analyzes the influence of price limits on the pricing effects of China stock market by using the data of monthly returns of A-shares of Shanghai and Shenzhen from January 1998 to June 2017. Results show that the momentum factor has a significant pricing effect in China A-share market. The limit-hit system influences market pricing by the interaction between momentum factor and limit-hit frequency, which can be explained by the limits-to-arbitrage and the limited-attention behavior. The limit-hit frequency of a stock is not only related with its systematic risk and non-systemic risk, but also influenced by the company size, book-to-market ratio, and the company age. As far as market stabilization and the safeguard of systemic risk is concerned, we should pay more attention to the detail mechanism oftradhag system on market pricing and emphasize the driving factors and systemic information of the limit-hit frequency.