摘要
涨跌停机制是对证券的每日最高和最低成交价,或每日最高涨跌幅度进行的限制,旨在降低股市波动,提高市场效率。用带有涨跌停虚拟变量的GARCH(1,1)模型,对上海股市交易最为活跃的30支股票在涨跌停机制影响下的鞅假设和收益波动进行了实证研究。结果表明,中国股市当前10%的涨跌幅价格限制率会降低市场效率,而且不能降低市场的波动。因此,我国应取消或放宽当前的涨跌幅限制。
The price limiting mechanism (PLM) aims to limit the range of daily fluctuations of stock prices in order to reduce stock market fluctuation and enhance market efficiency. This paper is an empirical study of the martingale hypothesis and return volatility under PLM for 30 most actively traded stocks on the Shanghai stock market by modeling the GARCH (1,1) with up-hit and down-hit dummy variables in both the mean and variance equations. The results show that 10% of the price limits on the Chinese stock market affected market efficiency and could not reduce market volatility. Accordingly, it is argued that current price limits in China should be relaxed or exterminated.
出处
《厦门大学学报（哲学社会科学版）》
CSSCI
北大核心
2004年第2期100-108,共9页
Journal of Xiamen University(A Bimonthly for Studies in Arts & Social Sciences)
基金
福建省社会科学研究"十五"规划(第二期)(2003C005)
关键词
涨跌停机制
市场效率
市场波动
price limiting mechanism, market efficiency, market volatility.
