证券交易机制影响股价吗?——对中国股票市场的再检验

Does Trading Mechanism have Effect on Stock Price:——Evidence from Stock Market in China

本文在对分别按照开盘价和收盘价计算的两种收益率的比较中发现了极值聚集现象 ,文中将形成这一现象的原因归结于市场中涨跌幅限制的存在 ,并建立了一个简单模型对此进行了说明。其后 ,利用市场中不存在涨跌幅限制时期的数据对该模型进行了验证。在结论部分 ,本文分析了除交易机制外造成两种收益率差异的其他因素 ,并认为有关交易机制对股价行为影响的研究有待深入。

Comparing two return rates computed with open price and close price, we find the clustering of extreme values. We attribute this to the existence of price limit. A simple model has been constructed to explain it. Then, further test in the interval without price limit has been executed. In the conclusion, we investigate some possible reasons and give future study direction.