涨跌幅限制影响价格发现的机制研究——基于期权视角的分析  

Mechanism of Price Limit Affecting Price Discovery:An Analysis from the Perspective of Options

作　　者：张瑞祺 张兵[1] ZHANG Ruiqi;ZHANG Bing(Business School,Nanjing University,Nanjing 210093,China)

机构地区：[1]南京大学商学院

出　　处：《金融评论》2022年第5期104-122,126,共20页Chinese Review of Financial Studies

摘　　要：基础交易制度对于资本市场良好运行有着深远影响。本文创新地将期权思想引入股市涨跌幅限制的分析中,以组合期权价格度量了涨跌幅限制造成的价格偏离。涨跌幅限制约束了价格变化的幅度,价格偏离无法消除,形成了价格发现延迟。基于2010~2020年的股票日度交易数据,本文验证了价格发现延迟现象,发现封板时间越早、限制幅度越小时,价格发现延迟越严重。进一步的分析显示,牛市和连续涨停情形下,股票价格发现延迟现象更加明显。本文的研究结论为研究涨跌幅限制提供了新的思路,另一方面也为完善涨跌幅限制制度提供了启发。The basic trading system has a profound impact on the capital market. In this paper,the idea of option is introduced into the analysis of price limit in stock market,and the price deviation caused by price limit is measured by the price of combination option. Price limit controls the range of price change,and price deviation cannot be eliminated,resulting in the delay price discovery effect. Based on the daily stock trading data from 2010 to 2020,this paper verifies the delay price discovery phenomenon. The earlier the reached-limit time and the smaller the limit range are,the more serious the delay price discovery will be. Further analysis shows that the delay price discovery effect is more significant in bull market and continuously reached-limit stocks. The conclusion of this paper provides a new idea for the study of price limit.At the same time,it also provides inspiration for improving the price limit system.

关 键 词：价格发现延迟 价格偏离 涨跌幅限制 期权 

分 类 号：F832.51[经济管理—金融学] F832.5