股票市场涨跌幅限制制度的实证与仿真研究

发布时间：2018-04-20 14:19

本文选题：涨跌幅限制制度 + 妨碍交易说　；参考：《南京大学》2012年硕士论文

【摘要】：作为稳定证券市场重要机制的涨跌幅限制制度,是在新兴市场上使用最广泛的价格稳定机制之一。虽然该制度运用广泛,但对于其效用的评价褒贬不一,投资界和学术界均未达成一致意见。碍于异质数据处理困难、且不同幅度限制下的股票价格运动变化比较无同一性基础,单从实证数据研究有一定局限性。因此本文试图用实证与计算实验金融两种方法研究涨跌幅限制。对涨跌幅限制效用的实证研究常从妨碍交易说、波动性溢出说、延迟价格发现说三点入手分析。本文综合运用分组比较法和事件研究法对上述三种假说以及过度反应现象进行了实证分析。结果显示,跌幅限制不支持妨碍交易说、延迟价格发现说,但会导致波动性溢出现象,同时存在一定减小过度反应的效用,而涨幅限制不支持延迟价格发现说,无法判断是否支持波动性溢出说,在一定程度上支持妨碍交易说,且不能减小过度反应。同时本文利用计算实验金融方法仿真股票市场,建立了连续双向拍卖机制下的限价指令市场模型,考虑异质投资者的市场参与。设定每个投资者的投资策略均为基本面分析、技术分析、随机投资的加权选择。通过仿真具有不同幅度涨跌幅限制的股票市场,发现严格的涨跌幅限制可以有效控制股票价格的波动性,但会阻碍均衡价格的到达。因此可以选择适当的涨跌幅限制,控制波动性的同时使得价格偏离度处于合理范围。本文使用中国股票市场最新数据对涨跌幅限制制度的现状进行了研究,并引入计算实验金融方法,研究涨跌幅限制幅度对市场的影响,为涨跌幅限制制度的完善提供参考。
[Abstract]:As an important mechanism to stabilize the securities market, the price limit system is one of the most widely used price stabilization mechanisms in emerging markets. Although the system is widely used, the evaluation of its utility is mixed, and the investment and academic circles have not reached an agreement. Due to the difficulty of heterogeneous data processing and the fact that there is no same basis for the stock price movement under different amplitude restrictions, there are some limitations in the study of empirical data alone. Therefore, this paper tries to use empirical and computational experimental financial methods to study the limit of fluctuation. The empirical research on the limit effect of price and decline is usually analyzed from three aspects: the theory of hindrance, the theory of volatility spillover, the theory of delayed price discovery. This paper makes an empirical analysis of the above three hypotheses and the phenomenon of overreaction by using the grouping comparison method and the event study method. The results show that the decline limit does not support the barrier to trading, the delay price discovery theory, but it can lead to volatility spillover phenomena, while there is some effect of reducing overreaction, while the increase limit does not support the delay price discovery theory. It is not possible to determine whether to support the volatility spillover theory, to some extent to support the blocking of trading claims, and not to minimize overreaction. At the same time, this paper simulates the stock market by using the computational experimental financial method, and establishes the price limit order market model under the continuous two-way auction mechanism, considering the market participation of heterogeneous investors. Each investor's investment strategy is defined as fundamental analysis, technical analysis, and weighted selection of random investments. By simulating the stock market with different fluctuation limits, it is found that the strict price limit can effectively control the volatility of stock price, but will hinder the arrival of equilibrium price. Therefore, we can choose the appropriate limit to control volatility and make the price deviation in a reasonable range. In this paper, the latest data of Chinese stock market are used to study the current situation of the limit system of price and decline, and the experimental financial method is introduced to study the influence of the limit of price and decline on the market, which provides a reference for the perfection of the system of limit of price and decline.
【学位授予单位】：南京大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F224;F832.51

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