漲跌停板制度對中國A股市場影響的研究.pdf

1、天津大學(xué)碩士學(xué)位論文漲跌停板制度對中國A股市場影響的研究姓名：張翠敏申請學(xué)位級別：碩士專業(yè)：管理科學(xué)與工程指導(dǎo)教師：任達20090501ABSTRACTPricelimitisoneofthewidelyadoptedstabilizationmechanismofsecuritiesmarketsinmanycountriesTheeffectofpricelimitisveryimportantforpolicymakersandi

2、nvestorsHowever，inacademiatherearefuriousdisputeabouttheactualfunctionofpricelimitThisisthestartpointthatwhy1writethispaperThisarticleanalyzestheperformanceofpricelimitinChineseAShareMarketbyempiricalmethodsfromthreeaspe

3、ctsandaimstofindthetrueimpactofpricelimitandstudytheeffectivenessofthisruleWehopewecanprovidesomeevidencesforpolicymakerstobetterpromotethedevelopmentofthestockmarketWeuseeventstudyandgroupcomparisonmethodstotestthethree

4、effectsthatmaybeinducedbypricelimit：DelayedPriceDiscoveryEffect，VolatilitySpillover’EffectandTradingInterferenceEffectandanalyzetheeffectivenessofthisrulefromstatisticalperspectivesWeanalyzetherelationbetweenfrequencyofh

5、ittingpricelimitsandthesizeofstockstoshowtheimpactofpricelimitonvolatilityfromanotherviewWealsocreateasimplemulti—linearregressionmodelandchoosestocksofdifferentsizetoexaminethechangeofturn—overrateofthefirst，second，thir

6、ddaysafterpricesreachtheirpricelimitanddrawtheconclusionoftheimpactofpricelimitonliquidityofdifferentsizestocksTakingaccountoftheconcreteresultofourdemonstration，WefindtheoperationofpricelimitinChineseASharehasbroughtabo

7、utsomeextensivemarketeffect：1TheuppricelimitinducesdelayedpricediscoveryeffectandtradinginterferenceeffectThedownpricelimitinducespricediscoveryeffectItshowsthatpricelimitdistortsthepricebehaviortosomeextentandtheimpacto

8、fuppricelimitanddownpricelimitisasymmetric2Bycomparingandcorrelationanalysis，thispaperconcludesthatthereisasignificantnegativelinearcorrelationrelationshipbetweenfrequencyofhittingpricelimitsandthesizeofstocksInordertopr