A股分行业涨跌停打开后的收益演化及分析  

Return Varying after Opening Price Limit Hits of All A-share Stocks in the Chinese Stock Markets

作　　者：吴婷 王跃 李铭夏[2] WU Ting;WANG Yue;LI Mingxia(East China University of Science and Technology,Shanghai 200237,China)

机构地区：[1]华东理工大学,商学院,上海200237 [2]华东理工大学体育经济理论研究所,上海200237

出　　处：《华东理工大学学报（社会科学版）》2018年第1期69-76,86,共9页Journal of East China University of Science and Technology：Social Science Edition

摘　　要：涨跌停制度的设置,是为了降低市场短期投资的热度,但也被认为可能引起价格波动的过度反应。本文分析比较了A股市场中批发、制造、房产、信息四个行业在涨跌停打开后一定时间窗口内的收益率演化和分布情况,观测到涨跌停打开后第一天的收益率概率分布呈现"W"型,表明股票在涨跌停打开后下一个交易日有很大概率继续发生涨跌停事件。通过涨跌停打开后收益率的正负比和均值情况,本文论证了A股此四个行业在涨跌停打开后价格反转现象的普遍存在,发现与跌停打开后相比,涨停打开后出现价格延续的概率更高,符合其他研究得出的中国股市交易存在的"追涨"现象的结论。Price limit trading rules are regarded as cooling off method for short-term trading mania on individual stocks as well as incurring over-reaction.Here we analyse the stock returns after opening price limit hits in a certain time window,based on A-share stocks of 4 industries traded in the enterprises get the innovation success,with the improvement of the substantial innovation difficulty,the market tends to be monopolistic.Thirdly,compared with the initial high-margin market,substantive technical innovation behavior is more likely to stimulate the initial lower-margin market to be monopolistic.So the latter market's enterprises innovation enthusiasm is lower.

关 键 词：连续涨跌停 涨跌停打开后收益 价格反转 

分 类 号：F830.91[经济管理—金融学]