涨跌幅限制对流动性和波动性影响的因子分析被引量：24

Upper-lower Limit to Liquidity and Volatility with the Factorization Influence

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摘要通过在有涨跌幅限制和无涨跌幅限制状态下对流动性、波动性和股票定价影响因素进行GMM回归,来分析涨跌幅限制是否改变了这些因素与流动性和波动性的关系,进而影响单个股票的流动性和波动性,结论说明了涨跌幅限制对单个股票的流动性是有影响的,尤其是对系统风险大、换手率高、大市值和高BM值股票的流动性有显著限制作用,对于单个股票的波动性来说,涨跌幅限制确实给投资者一个冷却期,使信息在投资者之间进行充分扩散和吸收从而降低信息的不对称性和市场价格的不对称性。 The paper analyzes whether upper- lower limit changing the relations among the factors affecting the stock price and liquidity and the volatility by proceeding the GMM returns of the liquidity, the volatility and the factors under upper - lower limit and non upper - lower limit conditions. The conclusion explains that the upper - lower limit to the liquidity of single stock has particular function, especially for the one, which has high systematic risk, high turn over rate, high market value and high BM value. For the volatility of single stock, upper- lower limit gives the investors a cooling - off period, let the information between the investors proceeding well diffusion and absorption, and then to bring down the dissymmetry of the information and the dissymmetry of the market price.

作者曾长虹

机构地区湖南大学金融学院

出处《金融研究》 CSSCI 北大核心 2004年第4期37-44,共8页 Journal of Financial Research

关键词涨跌幅限制流动性波动性系统风险非系统风险换手率 BM值 upper- lower limit, liquidity, volatility, systematic risk, and non- systematic risk, turn over rate, BM value

分类号 F830.9 [经济管理—金融学]

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