对称涨跌幅限制的非对称性效果研究—来自中国上证A股市场的证据

Symmetric Price Limits and Their Asymmetric Effects:Evidence from Shanghai A-Share Stock Market

本文利用中国上证A股的相关数据,通过扩展的GARCH模型验证涨幅限制与跌幅限制对收益序列性和收益波动性的影响及其差异,并在控制了反映公司和股票特征的相关变量之后,进一步分析了涨跌幅限制影响的行业差异。研究发现:涨跌幅限制对股票收益序列相关性的影响倾向于不显著,但对股票收益波动性的影响倾向于显著;涨幅限制影响的行业差异显著存在,而跌幅限制影响的行业差异不显著。在分析造成波动性的非对称性影响效果的原因时,本文发现市场β值、市值越大的公司,涨跌幅限制越容易对其产生非对称的影响。上述结果验证了在不同行业设置不同价格涨跌限制和设置非对称涨幅限制和跌幅限制的合理性。

By estimating the extended GARCH model using the CSMAR database,we test the asymmetric effects of price |imits on the return sequentiality and return volatility in upward and downward price movements.We further study different effects among different industries after controlling other factors that reflect firm and stock features.We find that the effects of price limits on the return sequentiality tend to be insignificant while the effects of price limits on the return volatility tend to be significant.The effect of upper limits among the industries is significant while that of lower limits is insignificant.We empirically test the factors for the asymmetric effects of price limits on the volatility and find that for the firms with higher Beta and larger size,the effect of price limits is more likely to be asymmetric.These results suggest that it is reasonable to set different price limits for different industries and asymmetric upper and lower limits.