涨跌幅限制效应的实证研究

发布时间：2018-02-22 04:59

本文关键词： 涨跌幅限制波动价格发现流动性广义矩估计回归分析　出处：《天津大学》2013年硕士论文　论文类型：学位论文

【摘要】：本文为充分了解涨跌幅限制给中国整个股票市场以及个股带来的影响，在事件研究法的基础上，把对上海A股市场的实证研究分为两个方面展开。第一方面，本文运用ARCH模型族和多种统计检验等方法对1996年12月16日重新设立涨跌幅限制前后两阶段的个股价格行为的变化进行分析，利用GARCH模型估计股价长期波动，用自相关函数揭示股价依赖性，并综合比较多种流动性指标，从而深刻理解涨跌幅限制设立给股市带来的整体效应。研究发现在设立涨跌幅限制后，市场波动降低了，股票均衡价格的发现并未被延迟，，但对流动性产生了一定的不利影响。第二方面，本文运用广义矩估计（GMM）对股价触发涨跌停的频率和股价影响因素进行回归分析，并以2010年1月1日前后两阶段作为对比，对各个变量的变化率同样进行回归分析，以验证是否存在某些股票特征可以明显影响股价触发涨跌停的次数，并且了解这些因素的变化对于股价触发涨跌停频率变化的影响。研究发现公司规模、市盈率与股价触发涨跌停频率显著正相关，系统风险与股价触发涨跌停频率显著负相关，交易频率的变化情况对股价触发涨跌停的次数变化有显著的正向影响。
[Abstract]:In order to fully understand the impact of price limit on the whole stock market and individual stocks in China, the empirical research on Shanghai A-share market is divided into two aspects on the basis of incident study. In this paper, ARCH model family and various statistical tests are used to analyze the changes of price behavior of individual stock in two stages before and after the re-establishment of the price limit in December 16th 1996, and the GARCH model is used to estimate the long-term fluctuation of stock price. Using autocorrelation function to reveal stock price dependence, and compare various liquidity indexes synthetically, so as to deeply understand the overall effect on stock market caused by setting up the limit of price and decline, the study found that after the establishment of the limit of price and decline, the volatility of the market decreased. The discovery of stock equilibrium price is not delayed, but it has a certain adverse effect on liquidity. Secondly, this paper uses generalized moment estimation (GMMM) to analyze the frequency of stock price triggering fluctuation and the influencing factors of stock price. Taking the two stages before and after January 1st 2010 as a comparison, regression analysis is carried out on the rate of change of each variable to verify whether there are some stock characteristics that can significantly affect the number of times that the stock price triggers the fluctuation limit. It is found that the company size, price-to-earnings ratio and the frequency of price rise and fall limit are significantly positively correlated, while the systemic risk is negatively correlated with the frequency of price rise and fall limit. Changes in trading frequency have a significant positive effect on the number of times a stock price triggers a limit.
【学位授予单位】：天津大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51;F224

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