创业板涨跌幅限制放宽政策对股价波动率的影响  

The Effect of Widening Price Limits on ChiNext Stock Price Volatility

作　　者：纪汉霖[1] 徐玥 Ji Hanlin;Xu Yue

机构地区：[1]上海理工大学管理学院

出　　处：《工程经济》2023年第11期44-54,共11页ENGINEERING ECONOMY

摘　　要：为评估创业板涨跌幅限制放宽至20%对股价波动的影响,本文选取2020年1月1日至2021年12月31日创业板和深证主板个股的日交易数据,采用双重差分法研究得出创业板股价波动性显著加剧的结论。接着采取变异系数法比较该政策对不同行业股价波动的影响差异,研究发现:作为周期性板块的计算机、汽车和有色金属行业股价波动上升,而农林牧渔和医药生物行业因其高防御性,价格波动减缓;短期中农林牧渔业股价波动小幅上升,医药生物板块中期的价格变异系数变化幅度最大,计算机和有色金属在中长期因市场利好股价波动远高于其余三个行业,汽车板块在长期呈现高景气,股价波动增势明显。In August 2020,the ChiNext entered the era of registration system with its fluctuation limit being relaxed from original±10%to±20%.In order to evaluate the policy effect on stock price volatility,this paper adopts the Difference-in-Difference Method for empirical testing,based on daily trading data of all stocks on ChiNext and SZSE Main Board from January 1,2020 to Decem-ber 31,2021,finding that the volatility of ChiNext stock price has significantly increased after the loose of limit.Then we choose five distinctive industries,comparing the impact of the policy on each stock price fluctuation by means of the coefficient of varia-tion method.The results show that as cyclical sectors,the stock price volatility of computer,automobile and non-ferrous metal in-dustries have increased,while the price fluctuations of farming,forestry,livestock and fishing,biomedical industries have slowed down due to their high defensiveness;In the short term,the price volatility of farming,forestry,livestock and fishing industry has increased slightly;in the medium term,the price variation coefficient of biomedical sector has witnessed the largest ascent;the price fluctuation of computer and non-ferrous metal industries were much higher than that of the other three industries in the medium and long term;the automobile industry has showed a high boom after one year of the policy,with its stock fluctuation increased obviously.

关 键 词：涨跌幅限制政策 股价波动 双重差分法 变异系数 

分 类 号：F832.51[经济管理—金融学]