股本规模、涨跌幅限制与磁石效应——基于沪深A股市场高频数据的实证研究  

Scale Stocks,Price Limit and Magnet Effect——Empirical Study on High-frequency Data of the Shanghai and Shenzhen A Stock Markets

作　　者：陈耕云[1] 李勇[2] 李传乐[3] 

机构地区：[1]广东金融学院工商管理系,广东广州510521 [2]国泰安信息技术有限公司,广东深圳518034 [3]中国人民大学博士后科研流动站招商银行博士后科研工作站,广东深圳518040

出　　处：《南京财经大学学报》2009年第4期40-45,共6页Journal of Nanjing University of Finance and Economics

基　　金：国家自然科学基金青年项目(10801137);广东省自然科学基金博士科研启动项目(8451063101000726)支助

摘　　要：基于CRTT模型,运用广义矩估计(GMM)方法,采用高频数据,按照股本规模大小分类,对沪深A股市场的磁石效应进行了实证分析。实证结果表明:沪深A股市场的涨跌幅限制存在显著的磁石效应。大规模股票和小规模股票的跌幅限制的磁石效应更加明显;中等规模股票涨跌幅限制的磁石效应具有一定的对称特征。我国的涨跌幅限制应该采取更加灵活的幅度限制,以促进股市的平稳健康发展。This paper analyzed the magnet effect of the Shanghai and Shenzhen A stock markets from equity scale perspective by proceeding GMM method, using high-frequency data. The conclusion shows the existence of magnet effect. There is more significant effect in the lower limit for both big and small equity scale stocks. However, the magnet effect of upper limit is as significant as lower limit for the moderate equity scale stocks. We believe that more flexible price limits should be taken to promote the steady and healthy development of the stock market.

关 键 词：涨跌幅限制 磁石效应 股本规模 GMM 高频数据 

分 类 号：F830.91[经济管理—金融学]