涨跌幅限制变动对市场波动性及流动性影响的仿真研究

A simulation study on the effect of price limits change on market volatility and liquidity

利用人工股票市场模型对股票价格和收益率进行仿真的基础上,考察了涨跌幅阈值变动对市场波动性及流动性的影响.通过分析仿真结果,研究发现:只有涨跌幅限制较为严格(如:5%)才能有效降低股票市场的波动性,且此时市场流动性与无涨跌幅限制的情形无明显差异.随着涨跌幅限制的放宽,市场的波动性将显著增大,同时市场流动性状况明显改善,但值得注意的是,涨跌幅限制为10%及以上的市场若其阈值变动较小,流动性的提升或将不甚明显.20%及以上的涨跌幅限制下市场的波动性及流动性基本上保持稳定.

Based on the simulation of stock price and yield using the artificial stock market model,the paper investigated the effect of price limits change on market volatility and liquidity.Through the analysis of the simulation results,we find that only the more stringent price limits(e.g.5%)can effectively reduce the volatility of the stock market,and at this time there is no significant difference in liquidity between the market with stringent price limits and the market without price limits.While market volatility will increase significantly with widening of the price limits,market liquidity will improve significantly.However,it is noteworthy that if the change of price limits is not large enough especially when prior price limits are set 10%or more,the increase in liquidity may not be significant.Volatility and liquidity basically remain stable under price limits of 20%or more.