影响股票达到涨跌幅限制的因素分析被引量：17

The Factor Analysis of Frequently Price-imit-hits

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摘要　运用广义矩估计GMM(thegeneralizedmethodofmoment)方法,对上海证券交易所股票达到涨跌幅限制的频率与影响股票价格的因素进行回归分析,以验证是否存在某些内在因素促使一部分股票比其他股票更频繁地达到涨跌幅限制.结果表明:波动性大和交易频率高的股票达到涨跌幅限制的频率较高.另一方面上海证券交易所10%的跌幅限制是限制了临时波动,对基本波动没有影响;而10%的涨幅限制既限制了临时波动,也限制了基本波动,从而使得价格发现过程受到干扰,影响了股票的合理定价. Daily price limits in the securities markets may affect certain securities more often than other securities. To examine this issue empirically, we examine the shanghai stock exchange that impose daily price limits. We estimate the model using the generalized method of moments (GMM). Overall, we find that volatile stocks, actively traded hit price limits more often than other stocks in the Shanghai Stock Exchange. On the other hand, The upper price limit in the shanghai stock exchange restrict the basic volatility, but the lower price limit restrict both the basic volatility and the transitory volatility, thus price limits serve to delay rational price movements.

作者穆启国刘海龙吴冲锋

机构地区上海交通大学安泰管理学院金融工程研究中心

出处《系统工程理论与实践》 EI CSCD 北大核心 2003年第9期61-66,共6页 Systems Engineering-Theory & Practice

基金国家杰出青年科学基金(70025303) 国家自然科学资金(70173031) 教育部跨世纪优秀人才基金

关键词涨跌幅限制系统风险非系统风险交易频率 BM值 price limits systematic risk unsystematic risk trading frequency book-to-market value

分类号 F830.91 [经济管理—金融学]

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