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中国股市涨跌幅限制下的统计特性
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Abstract:
如我们所知，许多国家都采取了不同价格限制措施为了给投资者提供了一个冷却期，有足够的时间去分析信息，从而减小市价的不确定性，并且减轻信息不对称性。但是近几年来，随着中国资本市场的容量不断扩大，市场规范程度也不断加大，对价格限制制度的研究还远远不够。因此，文章获取了上交所2017~2019年1703支股票的高频数据，来研究中国股市涨跌停限制下的统计特性。文章将所有的数据指标都为涨停和跌停，并且将整个时段划分为牛市和熊市，用于发现不同股市状态的不同统计特征。同时为了对于资产总额对价格限制的影响，将所有股票每一个交易日的资产总额均分为两类。我们发现跌停板有冷却效应，在一定程度上抑制了过度反应。
As we know, many countries have adopted different price limit measures in order to provide inves-tors with a cooling period, and have enough time to analyze the information, thereby reducing the uncertainty of the market price and reducing the information asymmetry. However, in recent years, with the continuous expansion of Chinese capital market capacity and the increasing degree of market regulation, the research on the price limit system is far from enough. Therefore, this article obtained high-frequency data of 1703 stocks from 2017~2019 in the Shanghai Stock Exchange to study statistical properties of price limit hits in the Chinese stock markets. Also, all the data indica-tors are divided into up-limit hits and down-limit hits and the entire period is divided into bullish and bearish periods, which are used to discover different statistical characteristics of different stock market states. At the same time, in order to compare the influence of capitalization on price limit, the capitalization of all stocks on each trading day is divided into two portfolios. It was found that the down limit has a cooling effect, which suppresses the overreaction to a certain extent.
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