中国股票市场达到涨幅限制的影响因素实证分析——基于2010-2012年交易数据  

Analysis of Influencing Factors on Stocks Reaching Upper Price Limit in A-share Market: Based on the Transaction Data During 2010-2012

作　　者：李强[1] 陈雯[1] 

机构地区：[1]厦门大学国际经济与贸易系

出　　处：《投资研究》2013年第7期139-151,共13页Review of Investment Studies

基　　金：国家社科基金(批准号:09BJL045);国家社科基金青年项目(批准号:11CJY073);厦门大学国际经济与贸易系教育发展基金资助项目(编号201112103)

摘　　要：利用最近两年A股2272家上市公司涨停频率数据,本文着重考察了所有涨停和从未涨停过的股票的差异。研究发现,总体看来容易涨停的股票在行业和流动股本上均存在着集聚性,即大量涨停扎堆在小部分股票中,这些股票大多具有某些特征。但是在财务盈利能力上容易涨停的股票整体情况却并不比不涨停的股票有明显的优势。此外,本文还利用logit和零膨胀泊松两种回归模型检验了行业、换手率、新股、除权和流通股本等影响因素,最后发现这些指标对涨停的影响在1%的水平下均十分显著。本文的研究结果为我们理解微观市场行为提供了新的视角。Using transaction data of 2272 listed companies on A Share-Market during the past two years, this paper investigates the difference between stocks that reached and hever reached the upper price limit. The research finds that , there is significant industry and circulating common stocks gathering effects in stocks that frequently hit price limits. That is, large numbers of upper limits concentrate in stocks that have some characteristics. However, these stocks do not have a distinct advantage on the financial profitability. In addition, the article also used the Logit and Zero-inflated Poisson regression model to test the influencing factors like plate effect, the turnover effect, the New Share effects, and ex-dividend effect. The result shows that the impacts of these indicators on the daily limit in the 1% level are very significant. The conclusion opens up a new perspective to our understanding of the micro-market behavior.

关 键 词：涨停板 新股 除权 换手率 

分 类 号：F832.51[经济管理—金融学]