中国股市涨跌幅限制主导日度动量效应  

Price Limit Dominates Daily Momentum Effect in the Chinese Stock Market

作　　者：张瑞祺 张兵[1] ZHANG Ruiqi;ZHANG Bing

机构地区：[1]南京大学商学院

出　　处：《中央财经大学学报》2025年第1期59-74,共16页Journal of Central University of Finance & Economics

基　　金：国家社会科学基金重大项目“依法规范和引导资本健康发展”(项目编号:23ZDA041)。

摘　　要：动量效应是最常见且被广泛验证的股市异象,日度动量效应是其在日度层面的体现,但相关研究尚不足。本文从存在性和驱动两方面展开分析。利用10年(2011—2020)的交易数据,发现了其存在性。深入分析发现动量策略收益来源于最高(低)组中达到涨(跌)停股票的次日异常收益,涨跌幅限制下的价格发现延迟现象主导了日度动量效应的形成。通过剔除涨跌停股票的样本与全样本对比、A+H股不同市场对比以及基于创业板涨跌幅限制自然调整的DID分析,实证证实了涨跌幅限制对日度动量效应的主导作用。隔夜日内拆解分析,明晰了价格发现延迟是这种主导作用的核心渠道。综合本文的研究表明,A股市场呈现的此种与国外股市相异的、特殊的日度动量效应,实际上是涨跌幅限制下的特殊产物,是价格发现延迟现象的衍生表现。本文既深化了对A股日度动量效应的理解,也为完善涨跌幅限制提供启发。Momentum effect is the most common and widely verified stock market anomaly,and daily momentum effect is its embodiment at daily level,but there is still insufficient research on it up to now.In this paper,we conduct an in-depth analysis of daily momentum effect in Chinese A-share market from perspectives of existence and driving force.Using trading data from 2011 to 2020,we find a significant daily momentum effect in Chinese A-share market.Through in-depth analysis,we find that momentum strategy return comes from following day s abnormal returns of stocks that reach the up-(down-)price limit in the highest(lowest)group,and delayed price discovery due to price limit mechanism dominates the formation of daily momentum effect.Through comparison between sample excluding stocks which reach price limit and whole sample,we could find that daily momentum effect is insignificant after exclusion,indicating price limits dominant role.Overnight-intraday decomposition analysis clarifies that delayed price discovery is the core channel.Comparison of A+H shares performance in different markets,and DID analysis based on natural adjustment of price limit range on Chinese market,provides further empirically confirmed.When price limit s effect weaken or disappear,daily momentum effect will weaken and disappear too.Our study indicates that the unique daily momentum effect presented in A-share market,which is different from foreign stock markets,is actually a special product of delayed price discovery effect.This paper not only deepens understanding of the daily momentum effect of A-share market,but provides inspiration for improving price limit mechanism.

关 键 词：动量效应 涨跌幅限制 价格发现延迟 双重差分分析 A+H股 

分 类 号：F832.5[经济管理—金融学]